Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models (Q6098033)
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scientific article; zbMATH DE number 7693560
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models |
scientific article; zbMATH DE number 7693560 |
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Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models (English)
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9 June 2023
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variable annuities
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regime-switching Lévy model
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dynamic programming
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Fourier cosine series expansion
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