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    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/64572


    题名: Quanto EIA的評價：蒙地卡羅法
    其它题名: Valuation of Quanto Equity Indexed Annuities
    作者: 陳冠妤;謝明華;蔡瑞煌
    Tsaih,Rua-Huan
    贡献者: 風管系
    关键词: Equity-Indexed Annuities;Quanto;Simple Annual Ratchet
    日期: 2008-06
    上传时间: 2014-03-11 17:17:31 (UTC+8)
    摘要: This paper introduces three major different types of Equity-Indexed Annuities:point to point,High Water Mark and Annual Ratchet.Annual Ratchet can be classified into two types. One is Compound Annual Ratchet and theotheris Simple Annual Ratchet.We focus on the valuation of simple annual ratchet.Then,we derive single asset Quanto model and use Monte Carlo Simulation method to price Quanto Simple Annual Ratchet EIA. Finally,we exam the variation of cost by adjusting participation rate,caprate and correlation between exchange rate and equity-linked underlying
    關聯: 財金論文叢刊, 8, 50-61
    数据类型: article
    显示于类别:[風險管理與保險學系] 期刊論文

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