Minimum return guarantees with fund switching rights—An optimal stopping problem
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DOI: 10.1016/j.jedc.2011.06.003
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Cited by:
- Mahayni, Antje & Schneider, Judith C., 2012. "Variable annuities and the option to seek risk: Why should you diversify?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2417-2428.
- Guo, Peijun & Li, Yonggang, 2014. "Approaches to multistage one-shot decision making," European Journal of Operational Research, Elsevier, vol. 236(2), pages 612-623.
- Antje Mahayni & Judith C. Schneider, 2016. "Minimum return guarantees, investment caps, and investment flexibility," Review of Derivatives Research, Springer, vol. 19(2), pages 85-111, July.
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More about this item
Keywords
Return guarantees; Fund switching rights; Optimal stopping; American compound option;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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