Robust Hedging of Withdrawal Guarantees (Extended Version)

Andreas Kunz

Papers from arXiv.org

Abstract: Withdrawal guarantees ensure the periodical deduction of a constant dollar-amount from a fund investment for a fixed number of periods. If the fund depletes before the last withdrawal, the guarantor has to finance the outstanding withdrawals. We derive a robust hedging strategy which leads to closed form solutions for the guarantee value.

Date: 2012-02, Revised 2012-09
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Citations: View citations in EconPapers (1)

Published in Risk Magazine 3 (2013) 64-68

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1202.0175

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