Traffic Light Options
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- Jorgensen, Peter Lochte, 2007. "Traffic light options," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3698-3719, December.
References listed on IDEAS
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Cited by:
- Dirk Broeders & An Chen, 2013. "Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund, and Sponsor Support," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 239-272, June.
- Kokholm, Thomas, 2008. "Pricing of Traffic Light Options and other Correlation Derivatives," Finance Research Group Working Papers F-2008-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Dirk Broeders & An Chen, 2013.
"Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund, and Sponsor Support,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 239-272, June.
- Dirk Broeders & An Chen, 2010. "Pension benefit security: a comparison of solvency requirements, a pension guarantee fund and sponsor support," DNB Working Papers 268, Netherlands Central Bank, Research Department.
- Michael Schmutz & Thomas Zurcher, 2010. "Static replications with traffic light options," Papers 1011.4795, arXiv.org.
- Broeders, Dirk & Chen, An, 2010. "Pension regulation and the market value of pension liabilities: A contingent claims analysis using Parisian options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1201-1214, June.
- Michael Schmutz & Thomas Zürcher, 2014. "Static Hedging with Traffic Light Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(7), pages 690-702, July.
- Shi, Zhen & Werker, Bas J.M., 2012. "Short-horizon regulation for long-term investors," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3227-3238.
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More about this item
Keywords
Traffic light solvency tests; regulatory solvency requirements; asset-liability management in pension funds; hedging interest rate and stock price risk; derivatives pricing; Black-Scholes/Hull-White model;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2007-06-18 (European Economics)
- NEP-URE-2007-06-18 (Urban and Real Estate Economics)
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