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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 02-037/2
- Classification
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Insurance; Insurance Companies; Actuarial Studies
- Subject
-
Optionspreistheorie
Swap
Hedging
Zinsrisiko
Schätzung
Großbritannien
- Event
-
Geistige Schöpfung
- (who)
-
Pelsser, Antoon
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2002
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Pelsser, Antoon
- Tinbergen Institute
Time of origin
- 2002
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