A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Author
- ZHULIANG CHEN1 ; FORSYTH, Peter A1
[1] David R. Cheriton School of Computer Science, University of Waterloo, Waterloo, ON, N2L 3G1, Canada - Source
Numerische Mathematik. 2008, Vol 109, Num 4, pp 535-569, 35 p ; ref : 22 ref
- CODEN
- NUMMA7
- ISSN
- 0029-599X
- Scientific domain
- Mathematics; Mechanics acoustics
- Publisher
- Springer, Berlin
/
Springer, Heidelberg
/
Springer, New York, NY
- Publication country
- Germany
- Document type
- Article
- Language
- English
- Keyword (fr)
- Analyse numérique Commande optimale Convergence Fixation prix Inégalité variationnelle Méthode numérique Solution viscosité Viscosité 49J40 49L25 49XX 58E35
- Keyword (en)
- Numerical analysis Optimal control Convergence Pricing Variational inequality Numerical method Viscosity solution Viscosity
- Keyword (es)
- Análisis numérico Control óptimo Convergencia Fijación precios Desigualdad variacional Método numérico Solución viscosidad Viscosidad
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E18 Calculus of variations and optimal control
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02G Topology. Manifolds and cell complexes. Global analysis and analysis on manifolds / 001A02G04 Global analysis, analysis on manifolds
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 20411890
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1007/s00211-008-0152-z 
https://dx.doi.org/10.1007/s00211-008-0152-z
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