Peiqi Wang

Princeton University

Sherrerd Hall, Charlton Street

Princeton, NJ 08544

United States

  • Princeton University

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Variable Annuities with High Water Mark Withdrawal Benefit

Number of pages: 17 Posted: 14 Dec 2016
Patrick Cheridito and Peiqi Wang
ETH Zurich and Princeton University
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Abstract:

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variable annuities, early surrender, stochastic control, optimal stopping, Hamilton--Jacobi--Bellman variational inequality