Minimum return guarantees with fund switching rights -- an optimal stopping problem

DOI10.1016/J.JEDC.2011.06.003MaRDI QIDQ658637zbMATHOpenAlexFDO

Authors Antje Mahayni, John Schoenmakers

Publication date 13 January 2012

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2011.06.003

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 50113 (Why is no real title available?)
• scientific article; zbMATH DE number 1310349 (Why is no real title available?)
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• Local time, coupling and the passport option
• Martingales and arbitrage in multiperiod securities markets
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• PASSPORT OPTIONS
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• The pricing of options and corporate liabilities

Cited in

(7)

• The reset decision for segregated fund maturity guarantees
• Cross-hedging minimum return guarantees: basis and liquidity risks
• Approaches to multistage one-shot decision making
• Designing minimum guaranteed return funds
• On the interaction between transfer restrictions and crediting strategies in guaranteed funds
• Minimum Rate of Return Guarantees: The Danish Case
• Minimum return guarantees, investment caps, and investment flexibility

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