English  |  正體中文  |  简体中文  |  Items with full text/Total items : 49633/84879 (58%)
Visitors : 7697346      Online Users : 64
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/111856


    Title: 相對權益連結型報酬率保證之評價--在單幣別/跨幣別架構下
    Other Titles: Pricing Relative Equity-Linked Guarantees under a Single/Cross-Currency Framework
    Authors: Hsieh, Tsung-Yu;Chou, Chi-Hsun
    Keywords: 相對保證;權益連結型保證;單幣別;跨幣別;LMM (LIBOR Market Model)利率模型
    Date: 2015-12
    Issue Date: 2017-10-27 02:10:32 (UTC+8)
    Publisher: 臺灣期貨交易所
    Abstract: 本文針對財務保證契約中的「相對權益連結型報酬率保
    證」之價值進行評價,此最低報酬率保證連結至權益型資產的
    報酬率,並依連結標的之計價幣別區分為單幣別型(GSSR)與跨
    幣別型(GCSR)。GSSR與GCSR常附在保險、退休金與投資型契
    約等類型的財務契約中。在以往有關權益連結型報酬率保證之
    評價的相關文獻中尚未有相關的研究。文中亦發現若採用以往
    文獻中的單一幣別架構評價GCSR將會造成到期保證下(maturity
    guarantee)的GCSR被顯著地低估。相較以往的文獻,文中的評價
    公式更適合於實務上的運用。

    This study derives the pricing formulas for guaranteed
    contracts whose guaranteed minimum rates of return are linked
    to single-currency and cross-currency stochastic rates of return
    on equity-type assets, denoted by “GSSRs and GCSRs”,
    respectively. GSSRs and GCSRs are often embedded in contracts
    which include life and pension insurance policies, guaranteed
    investment contracts, etc. The valuation of such guaranteed
    contracts has not yet been investigated in previous literature
    regarding equity-linked guarantees. The past valuation of GCSRs
    via a single-currency framework is found to cause a significant
    underpricing of GCSRs under maturity guarantee. Our pricing
    formulas are more suitable and feasible for practice than those
    given in previous relevant literature.
    Relation: 期貨與選擇權學刊 8(3), p.45-96
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

    Files in This Item:

    File Description SizeFormat
    相對權益連結型報酬率保證之評價--在單幣別/跨幣別架構下.pdf16821KbAdobe PDF0View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback