English  |  正體中文  |  简体中文  |  Items with full text/Total items : 88266/117736 (75%)
Visitors : 23392902      Online Users : 144
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/58583
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/58583


    Title: 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
    Authors: 邱于芬
    Chiu, Yu Fen
    Contributors: 陳松男
    Chen, Son Nan
    邱于芬
    Chiu, Yu Fen
    Keywords: 權益連動年金
    外匯
    風險中立評價
    Equity-indexed annuities
    foreign exchange
    risk-neutral valuation
    Date: 2010
    Issue Date: 2013-06-27 16:21:48 (UTC+8)
    Abstract: 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.
    Reference: Baxter, M., and A. Rennie. 1996. Financial Calculus: An Introduction to Derivative Pricing. Cambridge University Press.
    Black, F. and M. Scholes. 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81: 637-654.
    Bjork, T. 2004. Arbitrage Theory in Continuous Time, 2nd eds. Oxford University Press.
    Gerber, H., and E. Shiu. 2003. Pricing lookback options and dynamic guarantees. North American Actuarial Journal 7: 48–67.
    Hardy, M. 2004. Ratchet equity indexed annuities. In 14th Annual International AFIR Colloquium.
    Hardy, M. 2003. Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance. Wiley.
    Harrison, J. M., and D. M. Kreps. 1979. Martingales and arbitrage in multiperiod security markets. Journal of Economics Theory 20: 381–408.
    Harrison, J. M., and S. R. Pliska. 1981. Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and their Applications 11: 215–260.
    Hull, J. C. 2006. Options, Futures, and Other Derivatives Securities, 6th eds. Prentice Hall International Editions.
    Jaimungal, S. 2004. Pricing and hedging equity indexed annuities with Variance-Gamma deviates. Http://www.utstat.utoronto.ca/sjaimung/papers/eiaVG.pdf.
    Kijima, M., and T. Wong. 2007. Pricing of ratchet equity-indexed annuities under stochastic interest rates. Insurance: Mathematics and Economics 41: 317-338.
    Lee, H. 2003. Pricing equity-indexed annuities with path-dependent options. Insurance, Mathematics, and Economics 33: 677–690.
    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.
    Description: 博士
    國立政治大學
    金融研究所
    91352508
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0913525081
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File SizeFormat
    508101.pdf557KbAdobe PDF420View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback