Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/92946

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题名:	Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model
作者:	Hsieh, Tsung-Yu;Chen, Son-Nan
贡献者:	淡江大學財務金融學系
关键词:	Interest rate guarantee;LIBOR market model;Defined contribution pension plans
日期:	2010-06-30
上传时间:	2013-10-24 13:58:32 (UTC+8)
出版者:	臺北市：臺灣財務金融學會
摘要:	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.
關聯:	財務金融學刊=Journal of Financial Studies 18(2)，頁27-64
显示于类别:	[財務金融學系暨研究所] 期刊論文

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