Arbeitspapier
Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical UK interest rate data from the period1980 until 2000 that the static replicating portfolio is extremely effective asa hedge against the interest rate risk involved in the GAO, that thestatic replicating portfolio is considerably cheaper than up-front reservingand also that the replicating portfolio provides a much better level ofprotection than an up-front reserve.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 02-037/2
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Insurance; Insurance Companies; Actuarial Studies
- Thema
-
Optionspreistheorie
Swap
Hedging
Zinsrisiko
Schätzung
Großbritannien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Pelsser, Antoon
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Pelsser, Antoon
- Tinbergen Institute
Entstanden
- 2002
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