Free boundary and retirement benefits pricing in a jump-diffusion model
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Publication:3383200
DOI10.23952/JNVA.5.2021.3.02OpenAlexW4205956924MaRDI QIDQ3383200FDOQ3383200
Authors: Baojun Bian, Chaoyang Hao, Hong-Kun Xu, Quan Yuan 
Publication date: 23 September 2021
Published in: Journal of Nonlinear and Variational Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.23952/jnva.5.2021.3.02
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free boundaryjump-diffusion processintegro-differential variational inequalityoptimal retirement strategyretirement benefit
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Optimal stopping, free boundary, and American option in a jump-diffusion model
- Analysis of the optimal exercise boundary of American options for jump diffusions
- The effect of nonsmooth payoffs on the penalty approximation of American options
- A variational inequality approach to financial valuation of retirement benefits based on salary
- Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model
- Free boundary and American options in a jump-diffusion model
Cited In (4)
- Optimal early retirement near the expiration of a pension plan
- A variational inequality approach to financial valuation of retirement benefits based on salary
- Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
- Pricing pension plans under jump-diffusion models for the salary
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