Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
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More about this item
Keywords
retirement plans; options pricing; Kolmogorov equations; complementarity problem; numerical methods; augmented Lagrangian formulation;All these keywords.
JEL classification:
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-AGE-2012-02-20 (Economics of Ageing)
- NEP-CMP-2012-02-20 (Computational Economics)
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