Department of Mathematics
Using Options for Guarantee Products
Geerten de Kruijf (student UU), December 4, 2002
In my presentation I will give a survey of my thesis written during my
AXA Verzekeringen (Insurance company). AXA asked me to investigate how option
could be used for both existing and new products. The following questions
were the subject of
These questions will be discussed after a general introduction on options and the mathematical
subjects we need for this.
- How could option pricing theory be used to give a guarantee to the
client in exchange for capping the rate of return above an agreed level?
- What are the costs of a product where the client gets an automatical click
every time his investment grows with a certain percentage?
- How can we compute the 'Fair Value' of existing guarantees?
The presentation will be held in Dutch. As a compensation the screen information will be in
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