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

標題:Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model
學年98
學期2
出版(發表)日期2010/06/30
作品名稱Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model
作品名稱(其他語言)確定提撥制退休金計畫所附之利率保證之評價LIBOR市場模型
著者Hsieh, Tsung-Yu; Chen, Son-Nan
單位淡江大學財務金融學系
出版者臺北市臺灣財務金融學會
著錄名稱、卷期、頁數Journal of Financial Studies=財務金融學刊 18(2), pp.27-64
摘要本文採用LIBOR市場利率模型評價確定提撥制退休金計畫所附之收益率保證,此保證收益率連結至隨機LIBOR市場利率,在相關的文獻上(特別在隨機利率方面),尚未有相關的研究。本文同時考慮兩種保證型態:到期日保證與多期保證,運用平賭過程理論,在延伸之LIBOR市場利率模型(ELMM)下推導此兩種保證的理論公式解。相較於其他利率模型或HJM模型,採用ELMM所推得之評價公式更適合於實務運用。文中並進行蒙地卡羅模擬以驗證模型理論解的準確性。
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.
關鍵字利率保證;LIBOR市場模型;確定提撥制退休金計畫;Interest rate guarantee;LIBOR market model;Defined contribution pension plans
語言英文(美國)
ISSN1022-2898
期刊性質國內
收錄於TSSCI;
產學合作
通訊作者Hsieh, Tsung-Yu
審稿制度
國別中華民國
公開徵稿
出版型式,電子版,紙本
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