Iterative methods for the solution of a singular control formulation of a GMWB pricing problem.
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| Title: | Iterative methods for the solution of a singular control formulation of a GMWB pricing problem. |
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| Authors: | Huang, Y.1, yqhuang@ecemail.uwaterloo.ca, Forsyth, P.2, paforsyt@uwaterloo.ca, Labahn, G.2, glabahn@uwaterloo.ca |
| Source: | Numerische Mathematik; Sep2012, Vol. 122 Issue 1, p133-167, 35p |
| Database: | Applied Science & Technology Source |
| ISSN: | 0029599X |
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| DOI: | 10.1007/s00211-012-0455-y |
