Iterative methods for the solution of a singular control formulation of a GMWB pricing problem

DOI10.1007/S00211-012-0455-YzbMATH Open1247.91198OpenAlexW1997780371MaRDI QIDQ453330FDOQ453330

Authors: Yiqing Huang, G. Labahn, P. A. Forsyth 

Publication date: 19 September 2012

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-012-0455-y

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Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Financial applications of other theories (91G80)

Cites Work

• Financial Modelling with Jump Processes
• Financial valuation of guaranteed minimum withdrawal benefits
• Title not available (Why is that?)
• Guaranteed minimum withdrawal benefit in variable annuities
• Title not available (Why is that?)
• Some Convergence Results for Howard's Algorithm
• Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
• Title not available (Why is that?)
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Option pricing when underlying stock returns are discontinuous
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• Title not available (Why is that?)
• On some recent aspects of stochastic control and their applications
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Chebyshev semi-iterative methods, successive overrelaxation iterative methods, and second order Richardson iterative methods. I, II
• The effect of modelling parameters on the value of GMWB guarantees
• Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
• Robust numerical methods for contingent claims under jump diffusion processes
• A Numerical Method for Solving Singular Stochastic Control Problems
• Title not available (Why is that?)
• Dynamic hedging under jump diffusion with transaction costs
• Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
• Title not available (Why is that?)
• Numerical analysis of a free-boundary singular control problem in financial economics

Cited In (10)

• A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
• Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
• Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
• A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
• Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
• Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities
• RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE
• Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
• The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
• Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models

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