Cliquet option pricing in a jump-diffusion Lévy model
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Publication:2414852
DOI10.15559/18-VMSTA107zbMath1412.60055arXiv1810.09670MaRDI QIDQ2414852
Publication date: 17 May 2019
Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.09670
Fourier transformstochastic differential equationsensitivity analysisdistribution functionLévy processcompound Poisson processjump-diffusion modelGreekscliquet option pricingequity indexed annuitypath-dependent exotic optionstructured product
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Cites Work
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- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- Pricing and Hedging of Cliquet Options and Locally Capped Contracts
- Financial Modelling with Jump Processes
- Option pricing when underlying stock returns are discontinuous
- Pricing Cliquet Options in Jump-Diffusion Models
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