Pricing EIA with cliquet-style guarantees under time-changed Levy models by frame duality projection

Shi, BX; Zhang, ZM

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

COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, 2021; 95 ():

Abstract

This paper presents an efficient and accurate method for pricing equity-indexed annuities (EIAs) with cliquet-style payoff structures under time-chang......

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