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Analyses of retirement benefits with options

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  • Lin, Chung-Gee
  • Yang, Wei-Ning
  • Chen, Shu-Chuan

Abstract

This study applies the contingent claim approach to evaluate retirement benefits with the options of choosing the maximum defined benefit and defined contribution pension plans. A least-squares Monte Carlo simulation values complex retirement benefits that feature the properties of multiple variables, early exercise, stochastic interest rates, and several embedded options. Furthermore, this study examines the impacts of different forms of early decrements of the value of retirement benefits with options.

Suggested Citation

  • Lin, Chung-Gee & Yang, Wei-Ning & Chen, Shu-Chuan, 2014. "Analyses of retirement benefits with options," Economic Modelling, Elsevier, vol. 36(C), pages 130-135.
    • Handle: RePEc:eee:ecmode:v:36:y:2014:i:c:p:130-135
    DOI: 10.1016/j.econmod.2013.09.025
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    References listed on IDEAS

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    More about this item

    Keywords

    Contingent claim; Early exercise; Retirement benefit; Simulation; Stochastic interest rate;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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