We introduce the Fourier-Cosine method for pricing and hedging insurance derivatives. We implement this method for a particular problem of variable annuities under the Black-Scholes model for the investment account. The numerical results show the reliability of the Fourier-Cosine method for pricing and hedging insurance derivatives.
Titolo: | Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives | |
Autori: | ZANETTE, Antonino (Corresponding) | |
Data di pubblicazione: | 2018 | |
Rivista: | ||
Abstract: | We introduce the Fourier-Cosine method for pricing and hedging insurance derivatives. We implement this method for a particular problem of variable annuities under the Black-Scholes model for the investment account. The numerical results show the reliability of the Fourier-Cosine method for pricing and hedging insurance derivatives. | |
Handle: | http://hdl.handle.net/11390/1123511 | |
Appare nelle tipologie: | 1.1 Articolo in rivista |
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