Valuation of contingent-claims characterising particular pension schemes
نویسنده
چکیده
The benefits promised by pension schemes are often rather complex contingent-claims whose valuation requires the specification of the stochastic behaviour of several state-variables such as salaries, inflation rates, rates of return on investments, and so on. The object of this paper is, first of all, to present a valuation model suitable for their pricing, and then to apply this model to the valuation of very peculiar options embedded in the benefits offered by some “hybrid” pension plans. © 2000 Elsevier Science B.V. All rights reserved.
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