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

@@ Property / author @@
-Q175883
@@ Property / author: Q175883 / rank @@
-Normal rank
@@ Property / author @@
+Peter A. I. Forsyth
@@ Property / author: Peter A. I. Forsyth / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+BRENT
@@ Property / describes a project that uses: BRENT / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2169035498
@@ Property / OpenAlex ID: W2169035498 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.05743
@@ Property / arXiv ID: 1502.05743 / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging Costs for Variable Annuities Under Regime-Switching
+Normal rank
@@ Property / cites work @@
+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
+Normal rank
@@ Property / cites work @@
+Convexity preserving for fully nonlinear parabolic integro-differential equations
+Normal rank
@@ Property / cites work @@
+Q5657612
@@ Property / cites work: Q5657612 / rank @@
+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 @@
+The effect of modelling parameters on the value of GMWB guarantees
+Normal rank
@@ Property / cites work @@
+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
+Normal rank
@@ Property / cites work @@
+An optimal stochastic control framework for determining the cost of hedging of variable annuities
+Normal rank
@@ Property / cites work @@
+Q5520962
@@ Property / cites work: Q5520962 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4272982
@@ Property / cites work: Q4272982 / rank @@
+Normal rank
@@ Property / cites work @@
+Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
+Normal rank
@@ Property / cites work @@
+Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
+Normal rank
@@ Property / cites work @@
+Preservation of convexity of solutions to parabolic equations
+Normal rank
@@ Property / cites work @@
+Sequential Minimax Search for a Maximum
@@ Property / cites work: Sequential Minimax Search for a Maximum / rank @@
+Normal rank
@@ Property / cites work @@
+Financial valuation of guaranteed minimum withdrawal benefits
+Normal rank
@@ Property / cites work @@
+Q4235027
@@ Property / cites work: Q4235027 / rank @@
+Normal rank
@@ Property / cites work @@
+Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5250040