Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
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References listed on IDEAS
- Andrea Pascucci, 2008.
"Free boundary and optimal stopping problems for American Asian options,"
Finance and Stochastics,
Springer, vol. 12(1), pages 21-41, January.
- Andrea, Pascucci, 2007. "Free boundary and optimal stopping problems for American Asian options," MPRA Paper 4766, University Library of Munich, Germany.
- E. Chevalier, 2006. "Optimal Early Retirement Near the Expiration of a Pension Plan," Finance and Stochastics, Springer, vol. 10(2), pages 204-221, April.
- Bodie, Zvi, 1990. "Pensions as Retirement Income Insurance," Journal of Economic Literature, American Economic Association, vol. 28(1), pages 28-49, March.
- Laura Monti & Andrea Pascucci, 2009. "Obstacle problem for Arithmetic Asian options," Papers 0910.4257, arXiv.org.
More about this item
Keywordsretirement plans; options pricing; Kolmogorov equations; complementarity problem; numerical methods; augmented Lagrangian formulation;
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G00 - Financial Economics - - General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGE-2012-02-20 (Economics of Ageing)
- NEP-ALL-2012-02-20 (All new papers)
- NEP-CMP-2012-02-20 (Computational Economics)
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