Hsieh, Su-Jane; Chen, Andrew H.; Ferris, Kenneth R. - In: Journal of Financial and Quantitative Analysis 29 (1994) 01, pp. 89-99
This study applies an option pricing model to empirically derive pension put values for a sample of 176 individual pension plan sponsors insured by the Pension Benefit Guaranty Corporation (PBGC). This study finds that the pension put values for a group of 22 underfunded sponsors were...
