Valuing equity-linked death benefits in general exponential Levy models

Zhang, ZM; Yong, YD; Yu, WG

Zhang, ZM (corresponding author), Chongqing Univ, Coll Math & Stat, Chongqing 401331, Peoples R China.

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2020; 365 ():

Abstract

In this paper, a projection method combined with Fast Fourier Transform (FFT) is applied to value equity-linked death benefit products. Specifically, ......

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