In this talk, we investigate the value of intergenerational transfers under various target benefit plan designs. The contingent contributions and retirement benefits are decomposed into embedded options, and the risk-adjusted values of these options are calculated and compared across generations. For this purpose, an economic scenario generator is implemented: the economic variables’ dynamics are generated by a model that combines the first-order vector autoregressive (VAR) model and the generalized autoregressive conditionally heteroscedasticity (GARCH) process. A corresponding risk-neutral model is derived and estimated using the prices of financial assets; the latter is helpful to price the embedded options. Without an additional source of funding, we show that less volatile contributions and retirement benefits can only be achieved by increasing intergenerational subsidization.