關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return

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1 103/1 財金系 謝宗佑 副教授 期刊論文 發佈 Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return , [103-1] :Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return期刊論文Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of ReturnHsieh, Tsung-Yu; Chou, Chi-Hsun; Chen, Son-Nan淡江大學財務金融學系Oxford: Wiley-Blackwell Publishing Ltd.Asia-Pacific Journal of Financial Studies 43(4), pp.589–619We 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-pe
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