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20072020
most citedOption Valuation using Fourier Space Time Stepping

2 citations · 3 across the 6 of their papers we have counts for

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Showing 2017 · q-fin.CPShow all

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q-fin.CP2017★ 1 cited

A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities

Seyed Amir Hejazi, Kenneth R. Jackson, Guojun Gan

Variable Annuity (VA) products expose insurance companies to considerable risk because of the guarantees they provide to buyers of these products. Managing and hedging these risks…