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Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/111412

Title:	Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
Authors:	Wang, Chou-Wen;Yang, Sharon S.;Huang, Jr-Wei 王昭文;楊曉文
Contributors:	風險管理與保險研究中心
Keywords:	Regime switching model;Generalized hyperbolic process;VaR;CTE;Equity-linked insurance
Date:	2017
Issue Date:	2017-07-27 09:18:34 (UTC+8)
Abstract:	Option pricing and managing equity linked insurance (ELI) require the proper modeling of stock return dynamics. Due to the long duration nature of equity-linked insurance products, a stock return model must be able to deal simultaneously with the preceding stylized facts and the impact of market structure changes. In response, this article proposes stock return dynamics that combine Lévy processes in a regime-switching framework. We focus on a non-Gaussian, generalized hyperbolic distribution. We use the most popular linked equity of ELIs, the S&P 500 index, as an example. The empirical study verifies that the proposed regime-switching generalized hyperbolic (RSGH) model gives the best fit to data. In investigating the effects of stock return modeling on pricing and risk management for financial contracts, we derive the characteristic function, embedded option price, and risk measure of equity-linked insurance analytically. More importantly, we demonstrate that the regime-switching generalized hyperbolic (RSGH) model is realistic and can meet the stylistic facts of stock returns, which in turn can be employed in option pricing and risk management decisions. © 2017 Informa UK Limited, trading as Taylor & Francis Group
Relation:	Quantitative Finance,
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1080/14697688.2017.1288297
DOI:	10.1080/14697688.2017.1288297
Appears in Collections:	[企業管理學系] 期刊論文

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