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fbtwitterlinkedinvimeoflicker grey 14rssslideshare1

Pricing and Hedging Extreme Maturity Contracts

Title
Pricing and Hedging Extreme Maturity Contracts
Funding
ARC | Discovery Projects
Contract (GA) number
DP0878155
Start Date
2008/01/01
End Date
2011/12/31
Open Access mandate
no
Organizations
-
More information
http://purl.org/au-research/grants/arc/DP0878155

 

  • Equity-Linked Pension Schemes with Guarantees

    This paper analyses the relationship between the level of a return guarantee in an equity-linked pension scheme and the proportion of an investor's contribution needed to finance this guarantee. Three types of schemes are considered: investment guarantee, contribution guarantee and participation surplus. The evaluation of each scheme involves pricing an Asian option, for which relatively tight upper and lower bounds can be calculated in a numerically efficient manner. We find a negative (and ...
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