Free boundary and retirement benefits pricing in a jump-diffusion model
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Publication:3383200
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
free boundaryintegro-differential variational inequalityjump-diffusion processoptimal retirement strategyretirement benefit
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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