From cradle to grave: How to loot a 401(k) plan

• 成果类型: Article
• 署名作者: Stanton, R
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00048-9
• 发表日期: 2000
• 页码: 485-516
• 关键词: 401(k) plan; pension plan; Rollover; Option valuation

摘要

The regulations governing asset distributions from many retirement plans give participants the option to time retirement or rollovers from the plan strategically. They possess a long-lived put option, whose exercise price resets periodically to the current value of the assets in the plan. I derive a recursive closed-form valuation formula for the option and develop a numerical algorithm for implementing the result. I find that, for reasonable assumptions about volatility and life expectancy, the option's value may approach 40% of the value of the assets in the plan, financed entirely by those still contributing. This wealth transfer can, however, be easily avoided by making a simple change to the current regulations governing valuation and payout of these retirement plans. (C) 2000 Elsevier Science S.A. All rights reserved.