Article citationsMore>>

Forsyth, P. and Vetzal, K. (2014) An Optimal Stochastic Control Framework for Determining the Cost of Hedging of Variable Annuities. Journal of Economic Dynamics and Control, 44, 29-53.
https://doi.org/10.1016/j.jedc.2014.04.005

has been cited by the following article:

• TITLE: Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives

  AUTHORS: Ludovic Goudenège, Andrea Molent, Xiao Wei, Antonino Zanette

  KEYWORDS: Fourier-Cosine, Pricing, Hedging, Insurance, Derivatives

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.3, February 9, 2018

  ABSTRACT: We introduce the Fourier-Cosine method for pricing and hedging insurance derivatives. We implement this method for a particular problem of variable annuities under the Black-Scholes model for the investment account. The numerical results show the reliability of the Fourier-Cosine method for pricing and hedging insurance derivatives.