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The dynamic hedge cost of a guaranteed equity bond issued by a South African life office

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dc.contributor.author Schoonees CR en
dc.date.accessioned 2016-09-22T09:16:54Z
dc.date.available 2016-09-22T09:16:54Z
dc.date.created 1995 en
dc.date.submitted 1999 en
dc.identifier.uri http://hdl.handle.net/20.500.11892/52921
dc.description.abstract Presents the results of an investigation into the cost of dynamic hedging, from the perspective of a hypothetical South African life office that has issued a guaranteed equity bond. The life office wishes to hedge its liability either statically or dynamically. The terms static hedge and dynamic hedge are defined. It is uncertain whether the life office could create a static hedge asset at lower cost than the investment bank's asking price. This is the problem addressed by the thesis: the cost of in-house dynamic hedging within a specified financial environment and subject to a specified risk-return preference function. The factors that influence the dynamic hedge cost are discussed in detail. The market and legislative environment is examined and representative models are defined. The risk-return preference function is defined. The simulation approach and the factors that are ignored in the simulation are presented. The results are evaluated. Suggestions are made. en
dc.language English en
dc.subject Accounting en
dc.subject Management accounting en
dc.title The dynamic hedge cost of a guaranteed equity bond issued by a South African life office en
dc.type Masters degree en
dc.description.degree MA en

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