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    題名: Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return
    作者: Hsieh, Tsung-Yu;Chou, Chi-Hsun;Chen, Son-Nan
    貢獻者: 淡江大學財務金融學系
    關鍵詞: Stochastic;Rate of Return Guarantee;Cross-currency;Interest rate;LIBOR Market Model
    日期: 2014-08-01
    上傳時間: 2014-05-20 13:47:00 (UTC+8)
    出版者: Wiley-Blackwell Publishing Ltd.
    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 include 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 also 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: Asia-Pacific Journal of Financial Studies 43(4), pp.589–619
    DOI: 10.1111/ajfs.12059
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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