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.