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Pricing and Hedging a Hybrid Pension Plan
exchange option. This paper compares the resulting price with the actual additional contribution rate ... and considers extensions of the option theory to allow more accurately for the pension plan characteristics ...- Authors: Hongzhen Tian
- Date: Jan 2005
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Pensions & Retirement>Hybrid plans