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Robust Hedging of Withdrawal Guarantees (Extended Version)


  • Andreas Kunz


Withdrawal 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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  • Andreas Kunz, 2012. "Robust Hedging of Withdrawal Guarantees (Extended Version)," Papers 1202.0175,, revised Sep 2012.
  • Handle: RePEc:arx:papers:1202.0175

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    References listed on IDEAS

    1. Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pages 1165-1190, June.
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    Cited by:

    1. Huang, Yao Tung & Kwok, Yue Kuen, 2014. "Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 19-43.

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