會議論文
| 學年 | 100 |
|---|---|
| 學期 | 2 |
| 發表日期 | 2012-07-06 |
| 作品名稱 | Valuation of Guarantees Set Relative to Cross-Currency Stochastic Rates of Return |
| 作品名稱（其他語言） | |
| 著者 | Hsieh, Tsung-yu; Chou, Chi-hsun; Chen, Son-nan |
| 作品所屬單位 | 淡江大學財務金融學系 |
| 出版者 | |
| 會議名稱 | Asian Finance Association and Taiwan Finance Association 2012 Joint International Conference=2012 亞洲財務學會&臺灣財務金融學會聯合研討會 |
| 會議地點 | Taipei, Taiwan |
| 摘要 | We derive the pricing formulas for guarantees whose guaranteed minimum rates of return are set relative to cross-currency stochastic rates of return, “GCSRs” for short, via a cross-currency framework. GCSRs are often embedded in contracts which nclude life and pension insurance policies, guaranteed investment contracts and index-linked bonds, etc. The valuation of such guarantees has not been investigated in previous literature regarding guarantees. Our research finds that valuing GCSRs via a single-currency framework which is adopted in previous research on guarantees causes a significant underestimation of GCSRs under both maturity and multi-period guarantee. The underestimation of multi-period guarantee is much more significant than that of maturity guarantee. As a result, the pricing formulas derived in our research are more suitable, tractable and feasible for practice than those in previous relevant literature. |
| 關鍵字 | Stochastic;Rate of Return Guarantee;Cross-currency; Interest rate;LIBOR Market Model |
| 語言 | en |
| 收錄於 | |
| 會議性質 | 國際 |
| 校內研討會地點 | |
| 研討會時間 | 20120706~20120709 |
| 通訊作者 | 謝宗佑 |
| 國別 | TWN |
| 公開徵稿 | Y |
| 出版型式 | |
| 出處 | Asian Finance Association and Taiwan Finance Association 2012 Joint International Conference=2012 亞洲財務學會&臺灣財務金融學會聯合研討會, 30p. |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/77800 ) |