Efficient Valuation of Equity-Indexed Annuities Under Lévy Processes Using Fourier-Cosine Series
Year of publication: |
2019
|
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Authors: | Deng, Geng |
Other Persons: | Dulaney, Tim (contributor) ; McCann, Craig J. (contributor) ; Yan, Mike (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (24 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Computational Finance, 21(2), 1-27, September 2017 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 14, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2396145 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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