Contemporary pension plans are often hybrid pension plans, a mixture of defined benefit and defined contribution plans. In this article, we model a continuum of stylized hybrid pension plans in a run-off pension fund and value these pension liabilities taking account of both equity and interest...

In the present article, we analyse two effective nontraditional performance-based stock option schemes which we call Parisian and constrained Asian executives' stock option plans. Both options have a criterion on the terminal value similar to a call option, but in addition impose a restriction...