Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model

作者：

Highlights：

• We consider the pricing problem for GMDB products under general regime - switching jump diffusion models.

• The complex Fourier series expansion method is applied to approximate the pricing formulas.

• A lot of numerical examples are provided to show effectiveness of our pricing method.

摘要

•We consider the pricing problem for GMDB products under general regime - switching jump diffusion models.•The complex Fourier series expansion method is applied to approximate the pricing formulas.•A lot of numerical examples are provided to show effectiveness of our pricing method.

论文关键词：Regime-switching jump diffusion model,CFS,GMDB,Fourier transform

论文评审过程：Received 15 October 2020, Revised 7 January 2021, Accepted 23 January 2021, Available online 6 February 2021, Version of Record 6 February 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126031