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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/64474

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64474

Title:	A Recursive Formula for a Participating Contract Embedding a Surrender Option under a Regime-switching Model with Jump Risk: Evidence From The S&P 500 Stock Index
Authors:	Lin, Shih-Kuei;Lin, Chien-Hsiu;Chuang, Ming-Che;Chou, Chia-Yu 林士貴;林建秀
Contributors:	金融系
Keywords:	Participating contract;Recursive formula;Regime-switching model;Regime-switching model with jump risks;Volatility clustering
Date:	2014.02
Issue Date:	2014-03-06 16:22:52 (UTC+8)
Abstract:	This study proposes a recursive formula to value a surrenderable participating contract. To capture the dynamics of stock returns over expansion–recession cycles and the occurrence of catastrophic events, we assume the rate of return of the reference portfolio would follow a regime-switching model with jump risks. Our empirical results show that compared to the Black–Scholes model and the regime-switching model, the regime-switching model with jump risks can better explain the dynamics of the S&P 500 stock index. In addition, we give a recursive formula of a participating contract embedding a surrender option under a regime-switching model with jump risks. Sensitivity analysis shows that the changes of parameters of the regime-switching model with jump risks did influence participating contract premiums. The differences between valuations under the Black–Scholes model, the regime-switching model and the regime-switching model with jump risks suggest that it is critical to apply an appropriate model to value precisely a participating contract.
Relation:	Economic modelling, 38, 341-350
Data Type:	article
DOI 連結:	http://dx.doi.org/http://dx.doi.org/10.1016/j.econmod.2014.01.011
DOI:	10.1016/j.econmod.2014.01.011
Appears in Collections:	[金融學系] 期刊論文

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