1. NCCU Academic Hub
  2. 學術產出
  3. College of Commerce
  4. Proceedings
  5. Item

學術產出-Proceedings

Article View/Open

Publication Export

Google ScholarTM

政大圖書館

Citation Infomation

題名 Monte Carlo methods for valuation of ratchet equity indexed Annuities
作者 Hsieh, Ming-Hsiung;Chiu, Yu-Fen
邱于芬
貢獻者 金融系
關鍵詞 Arsenic compounds; Brownian movement; Chlorine compounds; Contracts; Finance; Investments; Landforms; Management science; Mathematical models; Numerical analysis; Solutions; Accumulation rates; Analytical solutions; Closed-form solutions; Control variates; Geometric Brownian motion; Insurance contracts; Numerical examples; Two types; Variations of; Monte Carlo methods
日期 2007
上傳時間 13-Jul-2015 15:16:38 (UTC+8)
摘要 Equity Indexed Annuities (EIAs) are popular insurance contracts. EIAs provide the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may receive extra benefit if the return of the linked index is high enough. There are a few variations of EIAs. We consider two types of EIAs: compound ratchet and simple ratchet. Under the geometric Brownian motion assumption for the equity index, plain compound ratchet options is known to have closed form solutions, but plain simple ratchet option is not. In this paper, we derive a closed form solution for plain simple ratchet option. For more exotic options, Monte Carlo methods are usually used for their valuation. To improve their efficiency, we propose two control variates based on the analytical solutions for the price of plain ratchet options. The effectiveness of the proposed control variates is examined via numerical examples of a typical contract. © 2007 IEEE.
關聯 Proceedings - Winter Simulation Conference
2007 Winter Simulation Conference, WSC,9 December 2007 through 12 December 2007,Washington, DC
資料類型 conference
DOI http://dx.doi.org/10.1109/WSC.2007.4419697
dc.contributor 金融系-
dc.creator (作者) Hsieh, Ming-Hsiung;Chiu, Yu-Fen-
dc.creator (作者) 邱于芬-
dc.date (日期) 2007-
dc.date.accessioned 13-Jul-2015 15:16:38 (UTC+8)-
dc.date.available 13-Jul-2015 15:16:38 (UTC+8)-
dc.date.issued (上傳時間) 13-Jul-2015 15:16:38 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76492-
dc.description.abstract (摘要) Equity Indexed Annuities (EIAs) are popular insurance contracts. EIAs provide the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may receive extra benefit if the return of the linked index is high enough. There are a few variations of EIAs. We consider two types of EIAs: compound ratchet and simple ratchet. Under the geometric Brownian motion assumption for the equity index, plain compound ratchet options is known to have closed form solutions, but plain simple ratchet option is not. In this paper, we derive a closed form solution for plain simple ratchet option. For more exotic options, Monte Carlo methods are usually used for their valuation. To improve their efficiency, we propose two control variates based on the analytical solutions for the price of plain ratchet options. The effectiveness of the proposed control variates is examined via numerical examples of a typical contract. © 2007 IEEE.-
dc.format.extent 176 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) Proceedings - Winter Simulation Conference-
dc.relation (關聯) 2007 Winter Simulation Conference, WSC,9 December 2007 through 12 December 2007,Washington, DC-
dc.subject (關鍵詞) Arsenic compounds; Brownian movement; Chlorine compounds; Contracts; Finance; Investments; Landforms; Management science; Mathematical models; Numerical analysis; Solutions; Accumulation rates; Analytical solutions; Closed-form solutions; Control variates; Geometric Brownian motion; Insurance contracts; Numerical examples; Two types; Variations of; Monte Carlo methods-
dc.title (題名) Monte Carlo methods for valuation of ratchet equity indexed Annuities-
dc.type (資料類型) conferenceen
dc.identifier.doi (DOI) 10.1109/WSC.2007.4419697-
dc.doi.uri (DOI) http://dx.doi.org/10.1109/WSC.2007.4419697-