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Pricing Perpetual Fund Protection With Withdrawal Option
protection, which is applicable to EIA products. The primary (or “naked”) fund is replaced by a protected (or ... Assuming a geometric Brownian motion for the primary fund, Gerber and Pafumi (2000) derived a closed ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Dynamic simulation models