Oliver Wood

CommInsure

48 Martin Pl

Sydney, NSW 2000

Australia

SCHOLARLY PAPERS

1

DOWNLOADS

81

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Pricing and Hedging Guaranteed Minimum Withdrawal Benefits under a General Lévy Framework Using the COS Method

Quantitative Finance. 2017, DOI:10.1080/14697688.2017.1357832
Number of pages: 43 Posted: 10 Feb 2017 Last Revised: 17 Sep 2017
Université Libre de Bruxelles (ULB) - Department of Mathematics, CommInsure and UNSW Australia
Downloads 81 (330,191)
Citation 1

Abstract:

Loading...

variable annuity, GMWB, COS method, hedging, risk minimisation