Name
Abstract | ||
|---|---|---|
In this paper, a projection method combined with Fast Fourier Transform (FFT) is applied to value equity-linked death benefit products. Specifically, we focus on valuation of the products with Guaranteed Minimum Death Benefit (GMDB). The benefit amount is linked to the performance of the underlying asset, which is modeled by an exponential Lévy process. To implement the proposed method, B-spline functions as well as some auxiliary functions are introduced for series expansion, while FFT is adopted to calculate the projection coefficients. Valuation formulae are obtained for a class of payoff functions, and error analysis is also presented. Various numerical valuation results computed by B-spline functions with different orders are presented to demonstrate the method’s efficiency and accuracy. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1016/j.cam.2019.112377 | Journal of Computational and Applied Mathematics |
Keywords | Field | DocType |
Equity-linked death benefits,PROJ,GMDB,Valuation | Mathematical optimization,Exponential function,Series expansion,Auxiliary function,Projection method,Fast Fourier transform,Lévy process,Valuation (finance),Mathematics,Stochastic game | Journal |
Volume | ISSN | Citations |
365 | 0377-0427 | 0 |
PageRank | References | Authors |
0.34 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Zhimin Zhang | 1 | 54 | 11.10 |
| Yaodi Yong | 2 | 0 | 0.34 |
| Wenguang Yu | 3 | 0 | 0.34 |