Stock Return Models for Segregated Fund Guarantees
نویسنده
چکیده
We discuss the data available for the TSE 300 and S&P 500 total return indexes. We consider a number of models, including the Wilkie model and regime switching models. We discuss calibration by maximum likelihood and by Markov chain Monte Carlo for the regime switching lognormal model. We then show how to use this model to price and hedge simple segregated fund maturity guarantees. keywords: Regime switching; Markov chain Monte Carlo; option pricing; segregated funds
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