Forsyth, Peter; Vetzal, Kenneth - In: Journal of Economic Dynamics and Control 44 (2014) C, pp. 29-53
An implicit partial differential equation (PDE) method is used to determine the cost of hedging for a Guaranteed Lifelong Withdrawal Benefit (GLWB) variable annuity contract. In the basic setting, the underlying risky asset is assumed to evolve according to geometric Brownian motion, but this is...