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Pricing and Hedging a Hybrid Pension Plan
Pricing and Hedging a Hybrid Pension Plan A defined contribution plan with a defined benefit minimum guarantee is valued as a put option or exchange option. This paper compares the resulting ...- 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