| 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 | en |
| ISSN | 2041-6156 |
| 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 | 是 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/98026 ) |
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