Iterative methods for the solution of a singular control formulation of a GMWB pricing problem (Q453330): Difference between revisions

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-.1007/s00211-012-0455-y
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+Peter A. I. Forsyth
@@ Property / author: Peter A. I. Forsyth / rank @@
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@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
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+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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+Some Convergence Results for Howard's Algorithm
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+Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
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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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+The effect of modelling parameters on the value of GMWB guarantees
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+Financial Modelling with Jump Processes
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+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
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+Numerical analysis of a free-boundary singular control problem in financial economics
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+Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
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+Option pricing when underlying stock returns are discontinuous
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+Financial valuation of guaranteed minimum withdrawal benefits
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+On some recent aspects of stochastic control and their applications
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+Numerical convergence properties of option pricing PDEs with uncertain volatility
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+Chebyshev semi-iterative methods, successive overrelaxation iterative methods, and second order Richardson iterative methods. I, II
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+Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
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@@ Property / DOI @@
+.1007/S00211-012-0455-Y
@@ Property / DOI: 10.1007/S00211-012-0455-Y / rank @@
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+Publication:453330