Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
From MaRDI portal
(Redirected from Publication:453330)
Recommendations
- Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
- Risk based capital for guaranteed minimum withdrawal benefit
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Combined fixed point and policy iteration for Hamilton-Jacobi-Bellman equations in finance
- Lévy modeled GMWB: Pricing with wavelets
Cites work
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- scientific article; zbMATH DE number 4205918 (Why is no real title available?)
- scientific article; zbMATH DE number 108341 (Why is no real title available?)
- scientific article; zbMATH DE number 1321699 (Why is no real title available?)
- scientific article; zbMATH DE number 1069620 (Why is no real title available?)
- scientific article; zbMATH DE number 1069629 (Why is no real title available?)
- A Numerical Method for Solving Singular Stochastic Control Problems
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
- Chebyshev semi-iterative methods, successive overrelaxation iterative methods, and second order Richardson iterative methods. I, II
- Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
- Dynamic hedging under jump diffusion with transaction costs
- Financial Modelling with Jump Processes
- Financial valuation of guaranteed minimum withdrawal benefits
- Guaranteed minimum withdrawal benefit in variable annuities
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
- Numerical analysis of a free-boundary singular control problem in financial economics
- Numerical convergence properties of option pricing PDEs with uncertain volatility
- On some recent aspects of stochastic control and their applications
- Option pricing when underlying stock returns are discontinuous
- Robust numerical methods for contingent claims under jump diffusion processes
- Some Convergence Results for Howard's Algorithm
- The effect of modelling parameters on the value of GMWB guarantees
Cited in
(10)- A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- Risk-based capital for variable annuity under stochastic interest rate
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
- Numerical approximation of a cash-constrained firm value with investment opportunities
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
This page was built for publication: Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q453330)
