Browsing University of Waterloo by Subject "iterative methods"
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Numerical Methods for Pricing a Guaranteed Minimum Withdrawal Benefit (GMWB) as a Singular Control Problem
(University of Waterloo, 2011-08-23)Guaranteed Minimum Withdrawal Benefits(GMWB) have become popular riders on variable annuities. The pricing of a GMWB contract was originally formulated as a singular stochastic control problem which results in a Hamilton ...