| Article ID: | iaor2008800 |
| Country: | United Kingdom |
| Volume: | 14 |
| Issue: | 2 |
| Start Page Number: | 101 |
| End Page Number: | 109 |
| Publication Date: | Apr 2003 |
| Journal: | IMA Journal of Management Mathematics (Print) |
| Authors: | Keating Con |
| Keywords: | pensions, Black-Scholes |
Valuable insights into the problem of how to fund defined benefit pension schemes can be obtained by analysis using the standard Black–Scholes/Merton option pricing model, considering the pension fund finances jointly with those of the sponsoring company. The nature of the fund assets and liabilities is completely different, and this lies behind current controversies about the appropriate discount rate, valuation, financial accounting and preferential status for pension fund claimants in insolvency.