Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)

DOI10.1093/imanum/drq044zbMath1235.91093OpenAlexW2138388875MaRDI QIDQ3117251

Yiqing Huang, Peter A. I. Forsyth

Publication date: 25 February 2012

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/drq044

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionpenalty methodsingular stochastic control

Mathematics Subject Classification ID

Related Items (18)

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