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    题名: Valuation and analysis on complex equity indexed annuities
    作者: 謝明華
    Hsieh, Ming-Hua
    Chiu, Yu-Fen
    Tsai, Cheng-hsien
    贡献者: 風管系
    关键词: Equity-indexed annuities;Foreign exchange;Risk-neutral valuation (search for similar items in EconPapers)
    日期: 2019-10
    上传时间: 2021-01-21 09:46:15 (UTC+8)
    摘要: Equity-indexed annuities (EIAs) are popular products that eliminate the downside risk while still providing upside potential. Among the three major categories of EIAs, ratchet EIAs are the most popular. Ratchet EIAs with quanto features emerge due to differences in asset returns across countries. The literature covers the pricing of the EIAs that are not quantos, and this paper fills the hole. In deriving pricing formulas, we add an exchange rate model as well as a foreign risk-free rate model to the pricing framework of Black and Scholes. Our formulas cover quanto ratchet EIAs for both compound and simple versions that may have a return cap and employ two types of geometric return averaging. The numerical analyses illustrate how contract features and market parameters affect contract values. The results also highlight the significance of quantos in contract pricing.
    關聯: Pacific-Basin Finance Journal, Volume 57, October 2019, 101175
    数据类型: article
    DOI 連結: https://doi.org/10.1016/j.pacfin.2019.101175
    DOI: 10.1016/j.pacfin.2019.101175
    显示于类别:[風險管理與保險學系] 期刊論文

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