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Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion

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References

2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities309 cited
2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES196 cited
2001The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds193 cited
2012Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options124 cited
2012Valuing equity-linked death benefits and other contingent options: A discounted density approach57 cited
2019Valuing equity-linked death benefits in general exponential Lévy models56 cited
2013Valuing equity-linked death benefits in jump diffusion models54 cited
2008Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws32 cited

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2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging25 cited

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