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https://ah.lib.nccu.edu.tw/handle/140.119/49650
題名: | Quanto EIA的評價 Valuation of Quanto Equity Indexed Annuities |
作者: | 陳冠妤 Chen,Kuan Yu |
貢獻者: | 謝明華<br>蔡瑞煌 Hsieh,Ming hua<br>Tsaih,Rua huan 陳冠妤 Chen,Kuan Yu |
關鍵詞: | 權益指數年金 匯率連動 變異數縮減 簡單年度重設 |
日期: | 2007 | 上傳時間: | 8-Dec-2010 | 摘要: | 本文主要針對匯率連動權益指數年金(Quanto Equity-Indexed Annuities)做評價,首先,先介紹三種不同權益指數年金(Equity-Indexed Annuities,EIA),分別為點對點(Point-to-Point)、高水檔(High Water Mark)和年度重設(Annual Ratchet),而年度重設又可分為複利年度重設(Compound Annual Ratchet)和簡單年度重設(Simple Annual Ratchet)。接著,我們介紹了單資產Quanto模型和多資產Quanto模型,並推導出單資產Quanto EIA的封閉解。由於多資產Quanto EIA無封閉解,本研究運用蒙地卡羅法來評價商品價格,並利用變異數縮減方法,使其模擬速度增快。我們使用了控制變異法(Control Variates)和反向變異法(Antithetic Variates),發現兩者同時使用的變異數縮減效果最佳。最後,本文透過調整參與率、上限率、下限率、利率和匯率與連結標的的相關係數來觀察成本的變化,提供建議予商品發行商。 | 參考文獻: | Baxter, M. W., and A. J. O. Rennie, 1996. Financial Calculus: An Introduction to Derivative Pricing (Cambridge University Press). Boyle, P., 1977, Options: A Monte Carlo approach, Journal of Financial Economics 4, 323-338. Boyle, P., M. Broadie, and P. Glasserman, 1997, Monte Carlo methods for security pricing, Journal of Economic Dynamics and Control 21, 1267-1321. Boyle, P., and Y Tse, 1990, An algorithm for computing values of options on the maximum or minimum of several assets, Journal of Financial and Quantitative Analysis 25, 215-227. Buetow, G. W., 1999, Ratchet options, Journal of Financial and Strategic Decisions 12, 17-30. Den Iseger, P., and E. Oldenkamp, 2005, Cliquet options: pricing and Greeks in deterministic and stochastic volatility models, (working paper). Glasserman, P., 2004. Monte Carlo Methods in Financial Engineering (Springer). Hardy, M., 2003. Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance (Wiley). Hardy, M., 2004, Ratchet equity indexed annuities, 14th Annual International AFIR Colloquium. Hsieh, M., and Y. Chiu, 2007, Monte Carlo methods for valuation of ratchet equity indexed annuities, Simulation Conference, 2007 Winter 998-1003. Hull, J., 2006. Options, futures, and other derivatives (Prentice Hall Upper Saddle River, NJ). Insurancenewsnet, 2008, AnnuitySpecs.com Releases Fourth Quarter, 2007 Indexed Sales Results. Via <http://www.insurancenewsnet.com/ article.asp?a=top_news&id=91540> [accessed March 1, 2008]. Jean-Yves, D., G. Genevieve, and S. Jean-Guy, 2003, The performance of analytical approximations for the computation of Asian quanto-basket option prices, Multinational Finance Journal 7, 55-81. Johnson, H., 1987, Options on the maximum or the minimum of several assets, Journal of Financial and Quantitative Analysis 22, 277-283. Lee, H., 2002, Pricing equity-indexed annuities embedded with exotic options, (Contingencies) Jan/Feb 2002,34-38. Lin, X. S., and K. S. Tan, 2003, Valuation of equity-indexed annuities under stochastic interest rates, North American Actuarial Journal 7, 72-91. Mats, Kjaer, 2006, Fast pricing of cliquet options with global floor, Journal of Derivatives 14, 47-60. Windcliff, H. A., P. A. Forsyth, and K. R. Vetzal, 2006, Numerical methods and volatility models for valuing cliquet options, Applied Mathematical Finance 13, 353-386. 陳威光, 2001, 選擇權 : 理論實務與應用, (智勝文化事業有限公司出版). |
描述: | 碩士 國立政治大學 資訊管理研究所 95356003 96 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0095356003 | 資料類型: | thesis |
Appears in Collections: | 學位論文 |
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