Pricing pension plans under jump-diffusion models for the salary
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Publication:2400705
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Cites work
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- A second order characteristic finite element scheme for convection-diffusion problems
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- An iterative method for pricing American options under jump-diffusion models
- An upwind approach for an American and European option pricing model
- Augmented Lagrangian active set methods for obstacle problems
- Comparison of two algorithms to solve the fixed-strike Amerasian options pricing problem
- Far field boundary conditions for Black-Scholes equations
- Financial Modelling with Jump Processes
- Finite elements and characteristics for some parabolic-hyperbolic problems
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
- Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization
- Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas
- Numerical Methods for Convection-Dominated Diffusion Problems Based on Combining the Method of Characteristics with Finite Element or Finite Difference Procedures
- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
- Numerical valuation of options with jumps in the underlying
- On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
- Option pricing when underlying stock returns are discontinuous
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- Robust numerical methods for contingent claims under jump diffusion processes
- The pricing of options and corporate liabilities
Cited in
(10)- A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
- Stochastic modeling and numerical simulation of gene regulatory networks with protein bursting
- Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
- Free boundary and retirement benefits pricing in a jump-diffusion model
- Return distributions of equity-linked retirement plans under jump and interest rate risk
- Pricing pension buy-outs under stochastic interest and mortality rates
- Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes
- New Salary Functions for Pension Valuations
- Optimal investment strategy for DC pension plan with default risk under jump-diffusion model
- Optimal early retirement near the expiration of a pension plan
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