關鍵字查詢 | 類別:研究報告 | | 關鍵字:雙指數跳躍過程下確定提撥退休金計劃之利率保證給付之評價

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序號 學年期 教師動態
1 101/1 財金系 謝宗佑 副教授 研究報告 發佈 雙指數跳躍過程下確定提撥退休金計劃之利率保證給付之評價 , [101-1] :雙指數跳躍過程下確定提撥退休金計劃之利率保證給付之評價研究報告雙指數跳躍過程下確定提撥退休金計劃之利率保證給付之評價Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under a Double Exponential Jump-Diffusion Model謝宗佑; 周奇勳淡江大學財務金融學系雙指數跳躍模型; 保證; 利率; LIBOR 市場模型; 退休金計畫; Double Exponential Jump Diffusion Model; Guarantee; Interest rate; LIBOR Market Model; Pension Plans計畫編號:NSC101-2410-H032-041
 研究期間:201208~201307
 研究經費:567,000行政院國家科學委員會This research plan attempts to derive the pricing formulas for the interest rate guarantees embedded in defined contribution pension plans (IRGEIDCPs) under a Double Exponential Jump-Diffusion Model (DEJM). DEJM incorporates two empirical phenomena- the asymmetric leptokurtic features and the “volatility smile” - and investors’ sentiment toward various good or bad news. As a result, pricing IRGEIDCPs under DEJM should be more precise than under a simple geometric Brownian motion (GBM) model. DEJM can produce analytical solutions for a variety of option pricing problems so that
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