Analyses of retirement benefits with options

Chung-Gee Lin, Wei-Ning Yang and Shu-Chuan Chen

Economic Modelling, 2014, vol. 36, issue C, 130-135

Abstract: This study applies the contingent claim approach to evaluate retirement benefits with the options of choosing the maximum defined benefit and defined contribution pension plans. A least-squares Monte Carlo simulation values complex retirement benefits that feature the properties of multiple variables, early exercise, stochastic interest rates, and several embedded options. Furthermore, this study examines the impacts of different forms of early decrements of the value of retirement benefits with options.

Keywords: Contingent claim; Early exercise; Retirement benefit; Simulation; Stochastic interest rate (search for similar items in EconPapers)
JEL-codes: C15 G13 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:36:y:2014:i:c:p:130-135

DOI: 10.1016/j.econmod.2013.09.025

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