Pricing ratchet equity index annuity with mortality risk by complex Fourier series method

DOI10.1016/J.CAM.2023.115414zbMath1527.91144OpenAlexW4383376142MaRDI QIDQ6049332

Yayun Wang

Publication date: 15 September 2023

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.2023.115414

zbMATH Keywords

pricingtime-changed Lévy modelcomplex Fourier series methodratchet annual contract

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Convergence and absolute convergence of Fourier and trigonometric series (42A20) Actuarial mathematics (91G05)

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Valuation of equity-indexed annuity under stochastic mortality and interest rate
• Family of spectral filters for discontinuous problems
• Precise option pricing by the COS method -- how to choose the truncation range
• Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• The design of equity-indexed annuities
• RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES
• A Theory of the Term Structure of Interest Rates
• Robust Pricing of European Options with Wavelets and the Characteristic Function
• Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
• Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy
• EXACT SIMULATION OF THE 3/2 MODEL
• FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS
• A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
• On the Gibbs Phenomenon and Its Resolution
• COS method for option pricing under a regime-switching model with time-changed Lévy processes
• Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
• Pricing Annuity Guarantees Under a Regime-Switching Model
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• Valuing Equity-Indexed Annuities

This page was built for publication: Pricing ratchet equity index annuity with mortality risk by complex Fourier series method