%0 Journal Article
%T Robust Hedging of Withdrawal Guarantees (Extended Version)
%A Andreas Kunz
%J Quantitative Finance
%D 2012
%I arXiv
%X Withdrawal guarantees ensure the periodical deduction of a constant dollar-amount from a fund investment for a fixed number of periods. If the fund depletes before the last withdrawal, the guarantor has to finance the outstanding withdrawals. We derive a robust hedging strategy which leads to closed form solutions for the guarantee value.
%U http://arxiv.org/abs/1202.0175v3