Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
From MaRDI portal
Publication:2015638
DOI10.1016/j.insmatheco.2013.09.011zbMath1290.91179OpenAlexW1978770635MaRDI QIDQ2015638
Farzad Alavi Fard, Tak Kuen Siu
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.011
collocation methodEsscher transformreduction of dimensionalitygeneralized jump-diffusion modelMarkov-switching compensatorparticipating products
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