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| 研究生： |
邱于芬 Chiu, Yu Fen |
|---|---|
| 論文名稱： |
具Quanto特性的鎖高型權益連動年金之評價 Pricing Ratchet Equity-Indexed Annuities with Quanto Features |
| 指導教授： |
陳松男
Chen, Son Nan |
| 學位類別： |
博士
Doctor |
| 系所名稱： |
商學院 - 金融學系 Department of Money and Banking |
| 論文出版年： | 2010 |
| 畢業學年度： | 99 |
| 語文別： | 英文 |
| 論文頁數： | 37 |
| 中文關鍵詞： | 權益連動年金 、外匯 、風險中立評價 |
| 外文關鍵詞： | Equity-indexed annuities, foreign exchange, risk-neutral valuation |
| 相關次數： | 點閱：297 下載：20 |
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Quanto EIA是一種具有選擇權特性且能連結至外幣投資的保險年金商品.以往針對權益連動年金所做的文獻中,均未考慮Quanto的特性.本文利用風險中立評價法求算出六種具有Quanto特性的鎖高型權益連動年金商品的評價公式,並進一步利用數值分析來探討各個契約及市場參數對契約價值的影響.
Quanto Ratchet EIAs link to foreign investments and provide options-like properties. The literature covers the pricing of the EIAs that are not quantos. This paper intends to fill the hole. To derive the pricing formulas, we added an exchange rate model as well as a foreign risk-free rate model to the pricing framework of Black and Scholes. Our formulas cover quanto ratchet EIA products for both compound and simple versions that may have a return cap and employ two types of geometric return averaging. We further provide numerical analyses on how contract features and market parameters affect the contract value.
1. INTRODUCTION 5
2. PRODUCT SPECIFICATION AND VALUATION 8
2.1 Product Specification 8
2.2 Risk-Neutral Valuation 10
3. PRICING FORMULAS 13
3.1 Quanto Ratchet EIAs without Index Averaging 13
3.1.1 Simple Quanto Ratchet EIAs 13
3.1.2 Compound Quanto Ratchet EIAs 15
3.2 Quanto Ratchet EIAs with G1 Index Averaging 15
3.3 Quanto Ratchet EIAs with G2 Index Averaging 17
4. NUMERICAL ILLUSTRATIONS 20
4.1 Valuation Examples 20
4.2 Parameter Analyses 20
4.2.1 Impact of return cap 21
4.2.2 Impact of Return Floor Rate 23
4.2.3 Impact of Participation Rate 24
4.2.4 Impact of Return Averaging 25
4.2.5 Impact of the Volatility of Linked Index 26
4.2.6 Impact of the Volatility of Exchange Rate 27
4.2.7 Impact of the correlation coefficient of log(S(t)) and log(C(t)) 28
4.2.8 Impact of the Domestic Risk-Free Rate 29
4.2.9 Impact of the Foreign Risk-Free Rate 30
5. CONCLUSIONS 31
References 35
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