A semi-Lagrangian $ε$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate

no code implementations • 1 Oct 2023 • Yaowen Lu, Duy-Minh Dang

We develop an efficient pricing approach for guaranteed minimum withdrawal benefits (GMWBs) with continuous withdrawals under a realistic modeling setting with jump-diffusions and stochastic interest rate.