Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983)
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scientific article; zbMATH DE number 7474417
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing some life-contingent lookback options under regime-switching Lévy models |
scientific article; zbMATH DE number 7474417 |
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Pricing some life-contingent lookback options under regime-switching Lévy models (English)
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16 February 2022
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regime-switching Lévy model
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GMDB
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exponential moments
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Fourier cosine series expansion
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