Valuation of contingent-claims characterising particular pension schemes

The benefits promised by pension schemes are often rather complex contingen t-claims whose valuation requires the specification of the stochastic behav iour of several state-variables such as salaries, inflation rates, rates of return on investments, and so on. The object of this paper is, first of al l, to present a valuation model suitable for their pricing, and then to app ly this model to the valuation of very peculiar options embedded in the ben efits offered by some "hybrid" pension plans. (C) 2000 Elsevier Science B.V . All rights reserved.