David R. Baños, Salvador Ortiz-Latorre, Oriol Zamora Font
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A functional variational approach to pricing path dependent insurance policies
The main purpose of this work is the derivation of a functional partial
differential equation (FPDE) for the calculations of equity-linked insurance
policies, where the payment stream may depend on the whole past history of the
financial asset. To this end, we employ variational techniques from the theory
of functional It\^o calculus.
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