Pension regulation and the market value of pension liabilities: A contingent claims analysis using Parisian options

Author:

Broeders Dirk,Chen An

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference43 articles.

1. Aaronson, S., Coronado, J., 2005. Are firms or workers behind the shift way from DB pension plan? Working Paper. Federal Reserve Board Finance and Economics Discussion Series.

2. Parisian options – The implied barrier concept;Anderluh,2004

3. Exact exotics;Andersen;Risk,1996

4. Pricing Parisian-style options with a lattice method;Avellaneda;International Journal of Theoretical and Applied Finance,1999

5. On the regulator–insurer interaction in a structural model;Bernard;Journal of Computational and Applied Mathematics,2009

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