Friedman, Avner; Shen, Weixi - In: Finance and Stochastics 6 (2002) 3, pp. 273-302
We consider a pension plan with the option of early retirement, and paid benefits $\Psi (S,t)$ based on salary S at the time of retirement, but with guaranteed minimum; $S=S(t)$ is a Markov process. Denote by V(S,t) the financial value of the retirement benefits; its formal definition is given...