Pricing pension plans under jump-diffusion models for the salary

DOI10.1016/j.camwa.2014.10.002zbMath1369.91190OpenAlexW1983774445MaRDI QIDQ2400705

Carlos Vázquez, Maria del Carmen Calvo-Garrido

Publication date: 30 August 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2014.10.002

zbMATH Keywords

numerical methodsoption pricingpension planscomplementarity problemjump-diffusion modelsaugmented Lagrangian active set formulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items (3)

Stochastic modeling and numerical simulation of gene regulatory networks with protein bursting ⋮ A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model ⋮ Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes

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