Free boundary and retirement benefits pricing in a jump-diffusion model
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Cites work
- A variational inequality approach to financial valuation of retirement benefits based on salary
- Analysis of the optimal exercise boundary of American options for jump diffusions
- Free boundary and American options in a jump-diffusion model
- scientific article; zbMATH DE number 3899626 (Why is no real title available?)
- scientific article; zbMATH DE number 3505982 (Why is no real title available?)
- Optimal stopping, free boundary, and American option in a jump-diffusion model
- The effect of nonsmooth payoffs on the penalty approximation of American options
- Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model
Cited in
(4)- A variational inequality approach to financial valuation of retirement benefits based on salary
- Pricing pension plans under jump-diffusion models for the salary
- Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
- Optimal early retirement near the expiration of a pension plan
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