A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (Q937233)
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scientific article; zbMATH DE number 5314414
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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; zbMATH DE number 5314414 |
Statements
A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (English)
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20 August 2008
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impulsive stochastic control
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Hamilton-Jacobi-Bellmann variational inequality
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viscosity solution
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0.88983524
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0.88785493
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0.87591505
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0.86988354
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0.8589735
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0.84796554
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0.84772295
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