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    题名: 具Quanto特性的鎖高型權益連動年金之評價
    Pricing Ratchet Equity-Indexed Annuities with Quanto Features
    作者: 邱于芬
    Chiu, Yu Fen
    贡献者: 陳松男
    Chen, Son Nan
    邱于芬
    Chiu, Yu Fen
    关键词: 權益連動年金
    外匯
    風險中立評價
    Equity-indexed annuities
    foreign exchange
    risk-neutral valuation
    日期: 2010
    上传时间: 2013-06-27 16:21:48 (UTC+8)
    摘要: Quanto EIA是一種具有選擇權特性且能連結至外幣投資的保險年金商品.以往針對權益連動年金所做的文獻中,均未考慮Quanto的特性.本文利用風險中立評價法求算出六種具有Quanto特性的鎖高型權益連動年金商品的評價公式,並進一步利用數值分析來探討各個契約及市場參數對契約價值的影響.
    Quanto Ratchet EIAs link to foreign investments and provide options-like properties. The literature covers the pricing of the EIAs that are not quantos. This paper intends to fill the hole. To derive the pricing formulas, we added 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 EIA products for both compound and simple versions that may have a return cap and employ two types of geometric return averaging. We further provide numerical analyses on how contract features and market parameters affect the contract value.
    參考文獻: Baxter, M., and A. Rennie. 1996. Financial Calculus: An Introduction to Derivative Pricing. Cambridge University Press.
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    Lin, S. X., and K. S. Tan. 2003. Valuation of equity-indexed annuities under stochastic interest rates. North American Actuarial Journal 6: 72–91.
    Tiong, S. 2000. Valuing equity-indexed annuities. North American Actuarial Journal 4: 149–163; Discussions 4: 163-170 and 5: 128-136.
    Vasicek, O. 1977. An equilibrium characterization of the term structure. Journal of Financial Economics 5: 177-188.
    描述: 博士
    國立政治大學
    金融研究所
    91352508
    99
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0913525081
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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