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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 ...

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    • 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