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    政大典藏 > College of Commerce > Department of MIS > Theses >  Item 140.119/49650


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49650


    Title: Quanto EIA的評價
    Valuation of Quanto Equity Indexed Annuities
    Authors: 陳冠妤
    Chen,Kuan Yu
    Contributors: 謝明華
    蔡瑞煌
    Hsieh,Ming hua
    Tsaih,Rua huan
    陳冠妤
    Chen,Kuan Yu
    Keywords: 權益指數年金
    匯率連動
    變異數縮減
    簡單年度重設
    Date: 2007
    Issue Date: 2010-12-08 15:49:48 (UTC+8)
    Abstract: 本文主要針對匯率連動權益指數年金（Quanto Equity-Indexed Annuities）做評價，首先，先介紹三種不同權益指數年金（Equity-Indexed Annuities，EIA），分別為點對點（Point-to-Point）、高水檔（High Water Mark）和年度重設（Annual Ratchet），而年度重設又可分為複利年度重設（Compound Annual Ratchet）和簡單年度重設（Simple Annual Ratchet）。接著，我們介紹了單資產Quanto模型和多資產Quanto模型，並推導出單資產Quanto EIA的封閉解。由於多資產Quanto EIA無封閉解，本研究運用蒙地卡羅法來評價商品價格，並利用變異數縮減方法，使其模擬速度增快。我們使用了控制變異法（Control Variates）和反向變異法（Antithetic Variates），發現兩者同時使用的變異數縮減效果最佳。最後，本文透過調整參與率、上限率、下限率、利率和匯率與連結標的的相關係數來觀察成本的變化，提供建議予商品發行商。
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    Description: 碩士
    國立政治大學
    資訊管理研究所
    95356003
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095356003
    Data Type: thesis
    Appears in Collections:[Department of MIS] Theses

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