Zhuliang Chen

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The valuation of a gas storage facility is characterized as a stochastic control problem, resulting in a Hamilton-Jacobi-Bellman (HJB) equation. In this paper, we present a semi-Lagrangian method for solving the HJB equation for a typical gas storage valuation problem. The method is able to handle a wide class of spot price models that exhibit(More)
In this paper, we outline an impulse stochastic control formulation for pricing variable annuities with a Guaranteed Minimum Withdrawal Benefit (GMWB) assuming the policyholder is allowed to withdraw funds continuously. We develop a single numerical scheme for solving the Hamilton-Jacobi-Bellman (HJB) variational inequality corresponding to the impulse(More)
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