政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49650
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113318/144297 (79%)
造访人次 : 50950421      在线人数 : 864
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 資訊管理學系 > 學位論文 >  Item 140.119/49650


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/49650


    题名: Quanto EIA的評價
    Valuation of Quanto Equity Indexed Annuities
    作者: 陳冠妤
    Chen,Kuan Yu
    贡献者: 謝明華
    蔡瑞煌
    Hsieh,Ming hua
    Tsaih,Rua huan
    陳冠妤
    Chen,Kuan Yu
    关键词: 權益指數年金
    匯率連動
    變異數縮減
    簡單年度重設
    日期: 2007
    上传时间: 2010-12-08 15:49:48 (UTC+8)
    摘要: 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。
    參考文獻: Baxter, M. W., and A. J. O. Rennie, 1996. Financial Calculus: An Introduction to Derivative Pricing (Cambridge University Press).
    Boyle, P., 1977, Options: A Monte Carlo approach, Journal of Financial Economics 4, 323-338.
    Boyle, P., M. Broadie, and P. Glasserman, 1997, Monte Carlo methods for security pricing, Journal of Economic Dynamics and Control 21, 1267-1321.
    Boyle, P., and Y Tse, 1990, An algorithm for computing values of options on the maximum or minimum of several assets, Journal of Financial and Quantitative Analysis 25, 215-227.
    Buetow, G. W., 1999, Ratchet options, Journal of Financial and Strategic Decisions 12, 17-30.
    Den Iseger, P., and E. Oldenkamp, 2005, Cliquet options: pricing and Greeks in deterministic and stochastic volatility models, (working paper).
    Glasserman, P., 2004. Monte Carlo Methods in Financial Engineering (Springer).
    Hardy, M., 2003. Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance (Wiley).
    Hardy, M., 2004, Ratchet equity indexed annuities, 14th Annual International AFIR Colloquium.
    Hsieh, M., and Y. Chiu, 2007, Monte Carlo methods for valuation of ratchet equity indexed annuities, Simulation Conference, 2007 Winter 998-1003.
    Hull, J., 2006. Options, futures, and other derivatives (Prentice Hall Upper Saddle River, NJ).
    Insurancenewsnet, 2008, AnnuitySpecs.com Releases Fourth Quarter, 2007 Indexed Sales Results. Via <http://www.insurancenewsnet.com/
    article.asp?a=top_news&id=91540> [accessed March 1, 2008].
    Jean-Yves, D., G. Genevieve, and S. Jean-Guy, 2003, The performance of analytical approximations for the computation of Asian quanto-basket option prices, Multinational Finance Journal 7, 55-81.
    Johnson, H., 1987, Options on the maximum or the minimum of several assets, Journal of Financial and Quantitative Analysis 22, 277-283.
    Lee, H., 2002, Pricing equity-indexed annuities embedded with exotic options, (Contingencies) Jan/Feb 2002,34-38.
    Lin, X. S., and K. S. Tan, 2003, Valuation of equity-indexed annuities under stochastic interest rates, North American Actuarial Journal 7, 72-91.
    Mats, Kjaer, 2006, Fast pricing of cliquet options with global floor, Journal of Derivatives 14, 47-60.
    Windcliff, H. A., P. A. Forsyth, and K. R. Vetzal, 2006, Numerical methods and volatility models for valuing cliquet options, Applied Mathematical Finance 13, 353-386.
    陳威光, 2001, 選擇權 : 理論實務與應用, (智勝文化事業有限公司出版).
    描述: 碩士
    國立政治大學
    資訊管理研究所
    95356003
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095356003
    数据类型: thesis
    显示于类别:[資訊管理學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    600301.pdf43KbAdobe PDF2835检视/开启
    600302.pdf84KbAdobe PDF21016检视/开启
    600303.pdf58KbAdobe PDF21191检视/开启
    600304.pdf106KbAdobe PDF2951检视/开启
    600305.pdf281KbAdobe PDF2986检视/开启
    600306.pdf337KbAdobe PDF21046检视/开启
    600307.pdf193KbAdobe PDF21133检视/开启
    600308.pdf485KbAdobe PDF21036检视/开启
    600309.pdf119KbAdobe PDF2935检视/开启
    600310.pdf48KbAdobe PDF21453检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈