| dc.contributor | 風管系 | en_US |
| dc.creator (作者) | 陳冠妤;謝明華;蔡瑞煌 | zh_TW |
| dc.creator (作者) | Tsaih,Rua-Huan | - |
| dc.date (日期) | 2008-06 | en_US |
| dc.date.accessioned | 11-Mar-2014 17:17:31 (UTC+8) | - |
| dc.date.available | 11-Mar-2014 17:17:31 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Mar-2014 17:17:31 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/64572 | - |
| dc.description.abstract (摘要) | This paper introduces three major different types of Equity-Indexed Annuities:point to point,High Water Mark and Annual Ratchet.Annual Ratchet can be classified into two types. One is Compound Annual Ratchet and theotheris Simple Annual Ratchet.We focus on the valuation of simple annual ratchet.Then,we derive single asset Quanto model and use Monte Carlo Simulation method to price Quanto Simple Annual Ratchet EIA. Finally,we exam the variation of cost by adjusting participation rate,caprate and correlation between exchange rate and equity-linked underlying | - |
| dc.format.extent | 515341 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 財金論文叢刊, 8, 50-61 | en_US |
| dc.subject (關鍵詞) | Equity-Indexed Annuities; Quanto; Simple Annual Ratchet | en_US |
| dc.title (題名) | Quanto EIA的評價：蒙地卡羅法 | en_US |
| dc.title.alternative (其他題名) | Valuation of Quanto Equity Indexed Annuities | en_US |
| dc.type (資料類型) | article | en |
