Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) (Q3117251)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) |
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Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) (English)
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25 February 2012
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singular stochastic control
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Hamilton-Jacobi-Bellman equation
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viscosity solution
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penalty method
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