A semi‐Lagrangian ε$$ \varepsilon $$‐monotone Fourier method for continuous withdrawal GMWBs under jump‐diffusion with stochastic interest rate
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Title
A semi‐Lagrangian ε$$ \varepsilon $$‐monotone Fourier method for continuous withdrawal GMWBs under jump‐diffusion with stochastic interest rate
Authors
Keywords
-
Journal
NUMERICAL METHODS FOR PARTIAL DIFFERENTIAL EQUATIONS
Volume -, Issue -, Pages -
Publisher
Wiley
Online
2023-10-19
DOI
10.1002/num.23075
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