Pricing some life-contingent lookback options under regime-switching Lévy models
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Publication:2075983
DOI10.1016/j.cam.2022.114082zbMath1483.91226MaRDI QIDQ2075983
Publication date: 16 February 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2022.114082
60G51: Processes with independent increments; Lévy processes
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Randomization and the valuation of guaranteed minimum death benefits, Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
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