Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model

DOI10.1016/J.CNSNS.2023.107605OpenAlexW4387619013MaRDI QIDQ6144094

Yayun Wang, Shengda Liu

Publication date: 5 January 2024

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2023.107605

zbMATH Keywords

GMDB\textit{European}-style \textit{Asian} option payoffscomplex \textit{Fourier} series methodregime-switching \textit{Lévy} model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

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