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Efficient pricing of spread options with stochastic rates and stochastic volatility
Levendis, Alexis Jacques
;
Mare, Eben
(
MDPI
,
2022-11
)
An economic scenario generator for embedded derivatives in South Africa
Levendis, Alexis
;
Mare, Eben
(
Actuarial Society of South Africa
,
2022
)
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Author
Mare, Eben (2)
Levendis, Alexis (1)
Levendis, Alexis Jacques (1)
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Stochastic interest rates (2)
Discounted characteristic function (1)
Fast Fourier transform (FFT) (1)
Geometric Brownian motion (gBm) (1)
Guaranteed minimum death benefit (GMDB) (1)
Guaranteed minimum maturity benefit (GMMB) (1)
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