Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
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Publication:4554481
DOI10.1080/14697688.2017.1357832zbMath1400.91648OpenAlexW2606799906MaRDI QIDQ4554481
Jonathan Ziveyi, Oliver Wood, Jennifer Alonso-García
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1357832
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for trigonometric approximation and interpolation (65T40)
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