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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/58586


    Title: 評價連結隨機保證報酬率之保證價值
    Pricing guarantees linked to stochastic guaranteed rates of return
    Authors: 謝宗佑
    Contributors: 陳松男
    謝宗佑
    Keywords: 利率保證
    LIBOR 市場模型
    確定提撥制退休金計畫
    Interest rate guarantee
    LIBOR market mode
    Defined contribution pension plans
    Date: 2010
    Issue Date: 2013-06-27 16:41:48 (UTC+8)
    Abstract: 本文採用LIBOR市場利率模型評價確定提撥制退休金計畫所附之收益率保證，此保證收益率連結至隨機LIBOR市場利率，在相關的文獻上(特別在隨機利率方面)，尚未有相關的研究。本文同時考慮兩種保證型態：到期日保證與多期保證，運用平賭過程理論，在延伸之LIBOR市場利率模型(ELMM)下推導此兩種保證的理論公式解。相較於其他利率模型或HJM模型，採用ELMM所推得之評價公式更適合於實務運用。為供實務運用，文中並探討如何進行參數校準，亦進行蒙地卡羅模擬以驗證模型理論解的準確性。
    We derive the pricing formulas for the guarantees embedded in defined contribution (DC) pension plans with the guaranteed minimum rate of return set relative to a LIBOR interest rate. The guaranteed rate associated with a stochastic LIBOR interest rate has not yet been studied
    in the relevant literature, particularly in the presence of stochastic interest rates. An extended LIBOR market model (LMM) is employed to price the interest rate guarantees embedded in DC pension plans under maturity and multi-period guarantees. The pricing formulas derived under
    the extended LMM are more tractable and feasible for practice than those derived under the instantaneous short rate models or the HJM model. Calibration procedures are also discussed for practical implementation. Monte Carlo simulation is provided to evaluate the accuracy of the theoretical results.
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    Description: 博士
    國立政治大學
    金融研究所
    93352503
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0933525031
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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