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    题名: Valuation of Guarantees Set Relative to Cross-Currency Stochastic Rates of Return
    作者: Hsieh, Tsung-yu;Chou, Chi-hsun;Chen, Son-nan
    贡献者: 淡江大學財務金融學系
    关键词: Stochastic;Rate of Return Guarantee;Cross-currency;Interest rate;LIBOR Market Model
    日期: 2012-07
    上传时间: 2012-07-22 20:53:34 (UTC+8)
    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.
    關聯: Asian Finance Association and Taiwan Finance Association 2012 Joint International Conference=2012 亞洲財務學會&臺灣財務金融學會聯合研討會, 30p.
    显示于类别:[財務金融學系暨研究所] 會議論文

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