The Existence of Optimal Bang-Bang Controls for GMxB Contracts (Q5250040): Difference between revisions

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+Peter A. I. Forsyth
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+Hedging Costs for Variable Annuities Under Regime-Switching
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+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
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+Convexity preserving for fully nonlinear parabolic integro-differential equations
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+Q5657612
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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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+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
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+An optimal stochastic control framework for determining the cost of hedging of variable annuities
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+Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
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+Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
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+Preservation of convexity of solutions to parabolic equations
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+Sequential Minimax Search for a Maximum
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+Financial valuation of guaranteed minimum withdrawal benefits
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+Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
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