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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92946

    Title: Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model
    Authors: Hsieh, Tsung-Yu;Chen, Son-Nan
    Contributors: 淡江大學財務金融學系
    Keywords: Interest rate guarantee;LIBOR market model;Defined contribution pension plans
    Date: 2010-06-30
    Issue Date: 2013-10-24 13:58:32 (UTC+8)
    Publisher: 臺北市:臺灣財務金融學會
    Abstract: We derive the pricing formulas for the guarantees embedded in defined contribution (DC) pension plans with the guaranteed minimum rate of return set relative to a LIBOR interest rate. The guaranteed rate associated with a stochastic LIBOR interest rate has not yet been studied in the relevant literature, particularly in the presence of stochastic interest rates. An extended LIBOR market model (LMM) is employed to price the interest rate guarantees embedded in DC pension plans under maturity and multi-period guarantees. The pricing formulas derived under the extended LMM are more tractable and feasible for practice than those derived under the instantaneous short rate models or the HJM model. Monte Carlo simulation is also provided to evaluate the accuracy of the theoretical results.
    Relation: 財務金融學刊=Journal of Financial Studies 18(2),頁27-64
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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