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題名 Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
作者 Wang, Chou-Wen;Yang, Sharon S.;Huang, Jr-Wei
王昭文;楊曉文
貢獻者 風險管理與保險研究中心
關鍵詞 Regime switching model; Generalized hyperbolic process; VaR; CTE; Equity-linked insurance
日期 2017
上傳時間 27-Jul-2017 09:18:34 (UTC+8)
摘要 Option pricing and managing equity linked insurance (ELI) require the proper modeling of stock return dynamics. Due to the long duration nature of equity-linked insurance products, a stock return model must be able to deal simultaneously with the preceding stylized facts and the impact of market structure changes. In response, this article proposes stock return dynamics that combine Lévy processes in a regime-switching framework. We focus on a non-Gaussian, generalized hyperbolic distribution. We use the most popular linked equity of ELIs, the S&P 500 index, as an example. The empirical study verifies that the proposed regime-switching generalized hyperbolic (RSGH) model gives the best fit to data. In investigating the effects of stock return modeling on pricing and risk management for financial contracts, we derive the characteristic function, embedded option price, and risk measure of equity-linked insurance analytically. More importantly, we demonstrate that the regime-switching generalized hyperbolic (RSGH) model is realistic and can meet the stylistic facts of stock returns, which in turn can be employed in option pricing and risk management decisions. © 2017 Informa UK Limited, trading as Taylor & Francis Group
關聯 Quantitative Finance,
資料類型 article
DOI http://dx.doi.org/10.1080/14697688.2017.1288297
dc.contributor 風險管理與保險研究中心
dc.creator (作者) Wang, Chou-Wen;Yang, Sharon S.;Huang, Jr-Weien-US
dc.creator (作者) 王昭文;楊曉文zh-tw
dc.date (日期) 2017
dc.date.accessioned 27-Jul-2017 09:18:34 (UTC+8)-
dc.date.available 27-Jul-2017 09:18:34 (UTC+8)-
dc.date.issued (上傳時間) 27-Jul-2017 09:18:34 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111412-
dc.description.abstract (摘要) Option pricing and managing equity linked insurance (ELI) require the proper modeling of stock return dynamics. Due to the long duration nature of equity-linked insurance products, a stock return model must be able to deal simultaneously with the preceding stylized facts and the impact of market structure changes. In response, this article proposes stock return dynamics that combine Lévy processes in a regime-switching framework. We focus on a non-Gaussian, generalized hyperbolic distribution. We use the most popular linked equity of ELIs, the S&P 500 index, as an example. The empirical study verifies that the proposed regime-switching generalized hyperbolic (RSGH) model gives the best fit to data. In investigating the effects of stock return modeling on pricing and risk management for financial contracts, we derive the characteristic function, embedded option price, and risk measure of equity-linked insurance analytically. More importantly, we demonstrate that the regime-switching generalized hyperbolic (RSGH) model is realistic and can meet the stylistic facts of stock returns, which in turn can be employed in option pricing and risk management decisions. © 2017 Informa UK Limited, trading as Taylor & Francis Group
dc.format.extent 111 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) Quantitative Finance,
dc.subject (關鍵詞) Regime switching model; Generalized hyperbolic process; VaR; CTE; Equity-linked insurance
dc.title (題名) Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insuranceen-US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1080/14697688.2017.1288297
dc.doi.uri (DOI) http://dx.doi.org/10.1080/14697688.2017.1288297