Valuing guaranteed minimum death benefits by complex Fourier series expansion

MaRDI QIDQ5086975zbMATH OpenFDO

Authors

Publication date 8 July 2022

Full work available at URL http://aps.ecnu.edu.cn/EN/abstract/abstract9450.shtml

zbMATH Keywords

call optionsguaranteed minimum death benefitsput optionsLévy modelCFS method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fourier coefficients, Fourier series of functions with special properties, special Fourier series (42A16)

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