Robust Hedging of Withdrawal Guarantees (Extended Version)
AbstractWithdrawal guarantees ensure the periodical deduction of a constant dollar-amount from a fund investment for a fixed number of periods. If the fund depletes before the last withdrawal, the guarantor has to finance the outstanding withdrawals. We derive a robust hedging strategy which leads to closed form solutions for the guarantee value.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1202.0175.
Date of creation: Feb 2012
Date of revision: Sep 2012
Publication status: Published in Risk Magazine 3 (2013) 64-68
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-15 (All new papers)
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- Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pages 1165-1190, 06.
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