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

DOI10.1007/s00211-012-0455-yzbMath1247.91198OpenAlexW1997780371MaRDI QIDQ453330

Yiqing Huang, George Labahn, Peter A. I. 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

Mathematics Subject Classification ID

Related Items (8)

The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours ⋮ 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 ⋮ RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE ⋮ Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Optimal initiation of a GLWB in a variable annuity: no arbitrage approach ⋮ Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models

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