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

Journal of Banking and Finance

Volumn 34, Issue 6, 2010, Pages 1201-1214

  Broeders, Dirk ^a   Chen, An ^b  

^a DE NEDERLANDSCHE BANK   (Netherlands)

^b UNIVERSITY OF BONN   (Germany)

Author keywords

DB and DC pension plans; Parisian barrier options; Pension funds; Regulation

Indexed keywords

EID: 77950019853     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.11.019     Document Type: Article

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