Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method

DOI10.1080/14697688.2017.1357832zbMath1400.91648OpenAlexW2606799906MaRDI QIDQ4554481

Jonathan Ziveyi, Oliver Wood, Jennifer Alonso-García

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1357832

zbMATH Keywords

hedgingCOS methodvariable annuityrisk minimisation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for trigonometric approximation and interpolation (65T40)

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