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Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution
dc.contributor.author | Calvo-Garrido, María-del-Carmen | |
dc.contributor.author | Vázquez, Carlos | |
dc.date.accessioned | 2024-01-30T14:37:25Z | |
dc.date.available | 2024-01-30T14:37:25Z | |
dc.date.issued | 2012 | |
dc.identifier.citation | Calvo-Garrido, M.C. & Vázquez, C. (2012) Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution, Journal of Computational Finance, 16 (2012), 1, 111-140. https://doi.org/10.21314/JCF.2012.243 | es_ES |
dc.identifier.uri | http://hdl.handle.net/2183/35238 | |
dc.description.abstract | [Abstract] In this paper, a partial differential equation model for the pricing of pension plans based on average salary is posed by using the dynamic hedging methodology. The existence and uniqueness of solutions for the resulting initial-value problem associated with a Kolmogorov equation is obtained. Moreover, a numerical method based on a Crank–Nicolson characteristics time discretization combined with finite elements to approximate the solution is proposed. Finally, some test examples illustrate the performance of the numerical methods as a tool for pricing these pension plans. | es_ES |
dc.description.sponsorship | This paper was partly funded by MCINN (Project MTM2010–21135–C02-01) and by Xunta de Galicia (Project INCITE09105339PR and Ayuda CN2011/004, cofinanced with FEDER funds). | es_ES |
dc.description.sponsorship | Xunta de Galicia; INCITE09105339PR | es_ES |
dc.description.sponsorship | Xunta de Galicia; CN2011/004 | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Infopro Digital Services | es_ES |
dc.relation | Info:eu-repo/grantAgreement/MCINN/Plan Nacional de I+D+i 2008-2011/MTM2010–21135–C02-01/ES/MODELOS, ANALISIS MATEMATICO Y RESOLUCION NUMERICA DE ALGUNOS PROBLEMAS EN CIENCIA E INGENIERIA BASADOS EN EDPS | es_ES |
dc.relation.uri | https://doi.org/10.21314/JCF.2012.243 | es_ES |
dc.rights | Copyright © 2012 Incisive Risk Information (IP) Limited | es_ES |
dc.subject | Pricing pension plans | es_ES |
dc.subject | Partial differential equation modeling | es_ES |
dc.title | Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | Journal of Computational Finance | es_ES |
UDC.volume | 16 | es_ES |
UDC.issue | 1 | es_ES |
UDC.startPage | 111 | es_ES |
UDC.endPage | 140 | es_ES |
dc.identifier.doi | 10.21314/JCF.2012.243 |
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