Contingent claims analysis and the valuation of pension liabilities
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Bibliographic InfoPaper provided by VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics in its series Serie Research Memoranda with number 0019.
Date of creation: 1999
Date of revision:
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Web page: http://www.feweb.vu.nl
Pensions; economic value; contingent claims analysis; option pricing; pension funds; pension liabilities;
Find related papers by JEL classification:
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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- J. Michael Harrison & William F. Sharpe, 1982.
"Optimal Funding and Asset Allocation Rules for Defined-Benefit Pension Plans,"
NBER Working Papers
0935, National Bureau of Economic Research, Inc.
- J. Michael Harrison & William F. Sharpe, 1983. "Optimal Funding and Asset Allocation Rules for Defined-Benefit Pension Plans," NBER Chapters, in: Financial Aspects of the United States Pension System, pages 91-106 National Bureau of Economic Research, Inc.
- Treynor, Jack L, 1977. "The Principles of Corporate Pension Finance," Journal of Finance, American Finance Association, vol. 32(2), pages 627-38, May.
- Merton, Robert C., 1973.
"On the pricing of corporate debt: the risk structure of interest rates,"
684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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- In Joon Kim & Krishna Ramaswamy & Suresh Sundaresan, 1993. "Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model," Financial Management, Financial Management Association, vol. 22(3), Fall.
- James E. Pesando, 1984.
"Valuing Pensions (Annuities) with Different Types of Inflation Protection in Total Compensation Comparisons,"
Canadian Journal of Economics,
Canadian Economics Association, vol. 17(3), pages 569-87, August.
- James E. Pesando, 1982. "Valuing Pensions (Annuities) with Different Types of Inflation Protection in Total Compensation Comparisons," NBER Working Papers 0956, National Bureau of Economic Research, Inc.
- Stulz, ReneM., 1982. "Options on the minimum or the maximum of two risky assets : Analysis and applications," Journal of Financial Economics, Elsevier, vol. 10(2), pages 161-185, July.
- Sharpe, William F., 1976. "Corporate pension funding policy," Journal of Financial Economics, Elsevier, vol. 3(3), pages 183-193, June.
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