Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement

DOI10.1137/120864751zbMath1285.91147OpenAlexW3124807227MaRDI QIDQ2873873

Maria del Carmen Calvo-Garrido, Carlos Vázquez, Andrea Pascucci

Publication date: 27 January 2014

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/aa47c3db4f8a1778c784f32beeb27749cad6e43c

zbMATH Keywords

obstacle problempension plansBlack-Scholes equationearly retirementaugmented Lagrangian active set methodaverage salaryLagrange-Galerkin discretization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Degenerate parabolic equations (35K65) Financial applications of other theories (91G80) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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