Pricing pension plans under jump-diffusion models for the salary
Publication:2400705
DOI10.1016/j.camwa.2014.10.002zbMath1369.91190OpenAlexW1983774445MaRDI QIDQ2400705
Carlos Vázquez, Maria del Carmen Calvo-Garrido
Publication date: 30 August 2017
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2014.10.002
numerical methodsoption pricingpension planscomplementarity problemjump-diffusion modelsaugmented Lagrangian active set formulation
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
Related Items (3)
Cites Work
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