教師資料查詢 | 類別: 會議論文 | 教師: 謝宗佑 TSUNG-YU HSIEH (瀏覽個人網頁)

標題:Valuation of Guarantees Set Relative to Cross-Currency Stochastic Rates of Return
學年100
學期2
發表日期2012/05/26
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2012 Conference on East Asia Finance - Crisis and Recovery of Financial Markets
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
語言英文
收錄於
會議性質國際
校內研討會地點台北校園
研討會時間20120526~20120527
通訊作者謝宗佑
國別中華民國
公開徵稿Y
出版型式
出處2012 Conference on East Asia Finance - Crisis and Recovery of Financial Markets, 30p.
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