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    政大機構典藏 > 商學院 > 資訊管理學系 > 學位論文 >  Item 140.119/49650
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/49650


    Title: Quanto EIA的評價
    Valuation of Quanto Equity Indexed Annuities
    Authors: 陳冠妤
    Chen,Kuan Yu
    Contributors: 謝明華
    蔡瑞煌

    Hsieh,Ming hua
    Tsaih,Rua huan

    陳冠妤
    Chen,Kuan Yu
    Keywords: 權益指數年金
    匯率連動
    變異數縮減
    簡單年度重設
    Date: 2007
    Issue Date: 2010-12-08 15:49:48 (UTC+8)
    Abstract: 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。
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    Description: 碩士
    國立政治大學
    資訊管理研究所
    95356003
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095356003
    Data Type: thesis
    Appears in Collections:[資訊管理學系] 學位論文

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