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    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

    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

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