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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/64572

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64572

Title:	Quanto EIA的評價：蒙地卡羅法
Other Titles:	Valuation of Quanto Equity Indexed Annuities
Authors:	陳冠妤;謝明華;蔡瑞煌 Tsaih,Rua-Huan
Contributors:	風管系
Keywords:	Equity-Indexed Annuities;Quanto;Simple Annual Ratchet
Date:	2008-06
Issue Date:	2014-03-11 17:17:31 (UTC+8)
Abstract:	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
Relation:	財金論文叢刊, 8, 50-61
Data Type:	article
Appears in Collections:	[風險管理與保險學系] 期刊論文

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