Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs
Year of publication: |
2006-11-21
|
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Authors: | Jørgensen, Peter Løchte |
Institutions: | Ehrvervøkonomisk Institut, Institut for Økonomi |
Subject: | Account-based pension schemes | return smoothing | payoff distributions | density approximation | Monte Carlo simulation | Asian options |
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