Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
Year of publication: |
2012-02-06
|
---|---|
Authors: | Calvo-Garrido, Maria del Carmen ; Pascucci, Andrea ; Vázquez Cendón, Carlos |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | retirement plans | options pricing | Kolmogorov equations | complementarity problem | numerical methods | augmented Lagrangian formulation |
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