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Pricing Perpetual Fund Protection With Withdrawal Option
withdrawal from the fund [before maturity] is not permitted. This paper studies the pricing of dynamic protection ... without a maturity date, i.e., the investor chooses the date to cash in the fund accumulation. Derivatives;Equity-indexed ...- 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