Pricing a specific equity index annuity in a regime-switching Lévy model with jump
Yayun Wang
Year of publication: |
2023
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Authors: | Wang, Yayun |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 61.2023, 3, p. 1115-1135
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Subject: | Complex Fourier series method | Equity index annuity | Regime-switching Lévy model | The cliquet options | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Aktienindex | Stock index |
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