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Pricing Perpetual Fund Protection With Withdrawal Option
Perpetual Fund Protection with Withdrawal Option Hans U. Gerber Ecole des hautes études commerciales Université ... provides the amount F(t) = S2(t) max{1, max 0≤ ≤τ t S S 1 2 ( ) ( ) τ τ }, if it is exercised at time ...- 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