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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.
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
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DbLabel: Applied Science & Technology Source
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PubType: Academic Journal
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  Data: Iterative methods for the solution of a singular control formulation of a GMWB pricing problem.
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        Value: 10.1007/s00211-012-0455-y
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        Text: English
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        StartPage: 133
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      – TitleFull: Iterative methods for the solution of a singular control formulation of a GMWB pricing problem.
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