Designing and pricing guarantee options in defined contribution pension plans
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- Pierre Devolder & Sébastien De Valeriola, 2017. "Minimum Protection in DC Funding Pension Plans and Margrabe Options," Risks, MDPI, Open Access Journal, vol. 5(1), pages 1-14, January.
More about this item
KeywordsOption pricing; Minimum guarantee; Defined benefit; Defined contribution; Embedded options; Risk sharing; Portfolio selection; Stochastic programming;
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