會議論文
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 | en |
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 | TWN |
公開徵稿 | Y |
出版型式 | |
出處 | 2012 Conference on East Asia Finance - Crisis and Recovery of Financial Markets, 30p. |
相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/77803 ) |