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    政大機構典藏 > 商學院 > 金融學系 > 會議論文 >  Item 140.119/76492
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/76492


    Title: Monte Carlo methods for valuation of ratchet equity indexed Annuities
    Authors: Hsieh, Ming-Hsiung;Chiu, Yu-Fen
    邱于芬
    Contributors: 金融系
    Keywords: Arsenic compounds;Brownian movement;Chlorine compounds;Contracts;Finance;Investments;Landforms;Management science;Mathematical models;Numerical analysis;Solutions;Accumulation rates;Analytical solutions;Closed-form solutions;Control variates;Geometric Brownian motion;Insurance contracts;Numerical examples;Two types;Variations of;Monte Carlo methods
    Date: 2007
    Issue Date: 2015-07-13 15:16:38 (UTC+8)
    Abstract: Equity Indexed Annuities (EIAs) are popular insurance contracts. EIAs provide the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may receive extra benefit if the return of the linked index is high enough. There are a few variations of EIAs. We consider two types of EIAs: compound ratchet and simple ratchet. Under the geometric Brownian motion assumption for the equity index, plain compound ratchet options is known to have closed form solutions, but plain simple ratchet option is not. In this paper, we derive a closed form solution for plain simple ratchet option. For more exotic options, Monte Carlo methods are usually used for their valuation. To improve their efficiency, we propose two control variates based on the analytical solutions for the price of plain ratchet options. The effectiveness of the proposed control variates is examined via numerical examples of a typical contract. © 2007 IEEE.
    Relation: Proceedings - Winter Simulation Conference
    2007 Winter Simulation Conference, WSC,9 December 2007 through 12 December 2007,Washington, DC
    Data Type: conference
    DOI 連結: http://dx.doi.org/10.1109/WSC.2007.4419697
    DOI: 10.1109/WSC.2007.4419697
    Appears in Collections:[金融學系] 會議論文

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