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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/78481


    Title: Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model
    Authors: Hsieh, Tsung-Yu;Chen, Son-Nan
    謝宗佑;陳松男
    Contributors: 金融系
    Keywords: Pension
    Date: 2010-06
    Issue Date: 2015-09-15 14:43:02 (UTC+8)
    Abstract: We derive the pricing formulas for the guarantees embedded in defined contribution (DC) pension plans with the guaranteed minimum rate of return set relative to a LIBOR interest rate. The guaranteed rate associated with a stochastic LIBOR interest rate has not yet been studied in the relevant literature, particularly in the presence of stochastic interest rates. An extended LIBOR market model (LMM) is employed to price the interest rate guarantees embedded in DC pension plans under maturity and multi-period guarantees. The pricing formulas derived under the extended LMM are more tractable and feasible for practice than those derived under the instantaneous short rate models or the HJM model. Monte Carlo simulation is also provided to evaluate the accuracy of the theoretical results.
    Relation: Journal of Financial Studies, 18(2), 27-64
    Data Type: article
    Appears in Collections:[Department of Money and Banking] Periodical Articles

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