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Pricing of rate of return guarantees on multi-period assets

Lindset, Snorre
Working paper
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URI
http://hdl.handle.net/11250/163617
Date
2001-06
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  • Discussion papers (FOR) [593]
Abstract
The basis for this paper is the pricing of multi-period rate of return guarantees. These guarantees can typically be found in life insurance and pension contracts. We derive closed form solutions, expressed by the cumulative multivariate normal probability distribution, for multi-period rate of return guarantees on both a money market account and a stock. The guarantees of Hipp (1996), Persson and Aase (1997), and Miltersen and Persson (1999) can be seen to be special cases of our results.
Publisher
Norwegian School of Economics and Business Administration. Department of Finance and Management Science
Series
Discussion paper
2001:15

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