Park, Seyoung - In: Journal of Derivatives and Quantitative Studies: … 30 (2022) 2, pp. 125-142
In this paper, we view an individual's annuitization decision as an American style call option whose underlying asset … is financial wealth, which controls the distance to annuitization. We then derive a certain threshold of wealth over … constraints on the individual's optimal annuitization decision, concerning their effects on the optimal investment and consumption …