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:Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return
學年103
學期1
出版(發表)日期2014/08/01
作品名稱Valuation of Guaranteed Contracts 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
單位淡江大學財務金融學系
出版者Oxford: Wiley-Blackwell Publishing Ltd.
著錄名稱、卷期、頁數Asia-Pacific Journal of Financial Studies 43(4), pp.589–619
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 include 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 also 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
語言英文
ISSN2041-6156
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Hsieh, Tsung-Yu
審稿制度
國別英國
公開徵稿
出版型式,電子版
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