Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008
satisfactorily pricing and hedging extremely long-dated claims. Since they all fall within the ambit of risk-neutral pricing, it is … extremely long-dated claims on the S&P 500 total return index are conducted. Our model serves also as a convenient medium for … is up to the task of satisfactorily pricing and hedging
extremely long-dated claims. Since they all fall within the ambit …