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Robust Hedging of Withdrawal Guarantees (Extended Version)

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.
Year of publication:
2012-02
Authors: Kunz, Andreas
Institutions: arXiv.org
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Extent:
application/pdf
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Type of publication: Book / Working Paper
Language: English
Notes:
Published in Risk Magazine 3 (2013) 64-68
Source:
Persistent link: https://www.econbiz.de/10009492901
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