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Deng et al., 2017 - Google Patents

Efficient valuation of equity-indexed annuities under Lévy processes using Fourier-cosine series

Deng et al., 2017

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Document ID
4458896256235456083
Author
Deng G
Dulaney T
McCann C
Yan M
Publication year
Publication venue
Journal of Computational Finance

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Abstract Equity-Indexed Annuities (EIAs) are deferred annuities which accumulate value over time according to crediting formulas and realized equity index returns. We propose an efficient algorithm to value two popular crediting formulas found in EIAs-Annual Point-to …
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