Deng et al., 2017 - Google Patents
Efficient valuation of equity-indexed annuities under Lévy processes using Fourier-cosine seriesDeng et al., 2017
View PDF- Document ID
- 4458896256235456083
- Author
- Deng G
- Dulaney T
- McCann C
- Yan M
- Publication year
- Publication venue
- Journal of Computational Finance
External Links
Snippet
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 …
- 238000000034 method 0 title abstract description 36
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