"A numerical scheme for the impulse control formulation for pricing ..."

Zhuliang Chen, Peter A. Forsyth (2008)

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DOI: 10.1007/S00211-008-0152-Z

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type: Journal Article

metadata version: 2017-05-28

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Zhuliang Chen, Peter A. Forsyth:
A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB). Numerische Mathematik 109(4): 535-569 (2008)

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