Title:

Pricing Longevity Derivatives via Fourier Transforms

Authors:

Jorge Miguel Ventura Bravo (U Nova, U Paris IX, Dauphine)
João Pedro Vidal Nunes (ISCTE - Instituto Universitário de Lisboa)

Journal:

Insurance: Mathematics and Economics

Year:

2021

Volume:

96

Pages:

81-97

JEL codes:

G11 - Portfolio Choice; Investment Decisions
G13 - Contingent Pricing; Futures Pricing

DOI:

10.1016/j.insmatheco.2020.10.008