Free boundary and retirement benefits pricing in a jump-diffusion model

DOI10.23952/jnva.5.2021.3.02OpenAlexW4205956924MaRDI QIDQ3383200

Quan Yuan, Chaoyang Hao, Hong-Kun Xu, Baojun Bian

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

zbMATH Keywords

free boundaryintegro-differential variational inequalityjump-diffusion processoptimal retirement strategyretirement benefit

Mathematics Subject Classification ID

Operator theory (47-XX) Functional analysis (46-XX)

Cites Work

• 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
• The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options
• Free boundary and American options in a jump-diffusion model
• Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions
• Optimal stopping, free boundary, and American option in a jump-diffusion model
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