Andreas Kunz

  1. Withdrawal Guarantees - A Semi-Static Hedging Approach.

    Authors: Andreas Kunz
    Subjects: Pricing of Securities
    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 an explicit semi-static hedging strategy
    which leads to closed form solutions for the guarantee value.

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