Traffic Light Options
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- Broeders, Dirk & Chen, An, 2010.
"Pension regulation and the market value of pension liabilities: A contingent claims analysis using Parisian options,"
Journal of Banking & Finance,
Elsevier, vol. 34(6), pages 1201-1214, June.
- Dirk Broeders & An Chen, 2008. "Pension regulation and the market value of pension liabilities - a contingent claims analysis using Parisian options," DNB Working Papers 183, Netherlands Central Bank, Research Department.
- Shi, Zhen & Werker, Bas J.M., 2012. "Short-horizon regulation for long-term investors," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3227-3238.
More about this item
KeywordsTraffic light solvency tests; regulatory solvency requirements; asset-liability management in pension funds; hedging interest rate and stock price risk; derivatives pricing; Black-Scholes/Hull-White model;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-18 (All new papers)
- NEP-EEC-2007-06-18 (European Economics)
- NEP-URE-2007-06-18 (Urban & Real Estate Economics)
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