Browsing Mathematics (Faculty of) by Subject "jump diffusion"
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Linear and Non-linear Monotone Methods for Valuing Financial Options Under Two-Factor, Jump-Diffusion Models
(University of Waterloo, 2007-10-01)The evolution of the price of two financial assets may be modeled by correlated geometric Brownian motion with additional, independent, finite activity jumps. Similarly, the evolution of the price of one financial asset ... -
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 ...