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Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives

  • Goudenège L
  • Molent A
  • Wei X
  • et al.
Theoretical Economics Letters (2018) 08(03) 282-291
DOI: 10.4236/tel.2018.83020
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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 …

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Goudenège, L., Molent, A., Wei, X., & Zanette, A. (2018). Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives. Theoretical Economics Letters, 08(03), 282–291. https://doi.org/10.4236/tel.2018.83020

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