A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (Q937233): Difference between revisions

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scientific article

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English	A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)	scientific article

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instance of

scholarly article

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title

A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (English)

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Numerische Mathematik

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publication date

20 August 2008

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zbMATH Keywords

impulsive stochastic control

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Hamilton-Jacobi-Bellmann variational inequality

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viscosity solution

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s00211-008-0152-z

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cites work

Quasi-Variational Inequalities with Dirichlet Boundary Condition Related to Exit Time Problems for Impulse Control

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Q4356582

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Q3355178

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A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

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A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)

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A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation

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Financial Modelling with Jump Processes

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GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

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European Option Pricing with Transaction Costs

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A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion

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Q4859690

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Some applications of impulse control in mathematical finance

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Financial valuation of guaranteed minimum withdrawal benefits

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Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs

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On some recent aspects of stochastic control and their applications

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Numerical schemes for investment models with singular transactions

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A model of optimal portfolio selection under liquidity risk and price impact

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Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature

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Valuation of segregated funds: shout options with maturity extensions.

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A unified approach to portfolio optimization with linear transaction costs

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Identifiers

zbMATH Open document ID

1141.93066

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DOI

10.1007/s00211-008-0152-z

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:937233

@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00211-008-0152-z
+Normal rank
@@ Property / OpenAlex ID @@
+W2159823040
@@ Property / OpenAlex ID: W2159823040 / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-Variational Inequalities with Dirichlet Boundary Condition Related to Exit Time Problems for Impulse Control
+Normal rank
@@ Property / cites work @@
+Q4356582
@@ Property / cites work: Q4356582 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3355178
@@ Property / cites work: Q3355178 / rank @@
+Normal rank
@@ Property / cites work @@
+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
+Normal rank
@@ Property / cites work @@
+A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
+Normal rank
@@ Property / cites work @@
+A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
+Normal rank
@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
+Normal rank
@@ Property / cites work @@
+Q4859690
@@ Property / cites work: Q4859690 / rank @@
+Normal rank
@@ Property / cites work @@
+Some applications of impulse control in mathematical finance
+Normal rank
@@ Property / cites work @@
+Financial valuation of guaranteed minimum withdrawal benefits
+Normal rank
@@ Property / cites work @@
+Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
+Normal rank
@@ Property / cites work @@
+On some recent aspects of stochastic control and their applications
+Normal rank
@@ Property / cites work @@
+Numerical schemes for investment models with singular transactions
+Normal rank
@@ Property / cites work @@
+A model of optimal portfolio selection under liquidity risk and price impact
+Normal rank
@@ Property / cites work @@
+Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature
+Normal rank
@@ Property / cites work @@
+Valuation of segregated funds: shout options with maturity extensions.
+Normal rank
@@ Property / cites work @@
+A unified approach to portfolio optimization with linear transaction costs
+Normal rank