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

Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)

(2011) Y. Huang et al.   IMA JOURNAL OF NUMERICAL ANALYSIS

Dynamic Hedging Under Jump Diffusion with Transaction Costs

(2009) J. S. Kennedy et al.   OPERATIONS RESEARCH

Some Convergence Results for Howard's Algorithm

(2009) Olivier Bokanowski et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS

The effect of modelling parameters on the value of GMWB guarantees

(2008) Z. Chen et al.   INSURANCE MATHEMATICS & ECONOMICS

GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

(2008) Min Dai et al.   MATHEMATICAL FINANCE

A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)

(2008) Zhuliang Chen et al.   NUMERISCHE MATHEMATIK

Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance

(2008) J. Wang et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS