| dc.contributor.advisor | 謝明華<br>蔡瑞煌 | zh_TW |
| dc.contributor.advisor | Hsieh,Ming hua<br>Tsaih,Rua huan | en_US |
| dc.contributor.author (作者) | 陳冠妤 | zh_TW |
| dc.contributor.author (作者) | Chen,Kuan Yu | en_US |
| dc.creator (作者) | 陳冠妤 | zh_TW |
| dc.creator (作者) | Chen,Kuan Yu | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 8-十二月-2010 15:49:48 (UTC+8) | - |
| dc.date.available | 8-十二月-2010 15:49:48 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-十二月-2010 15:49:48 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0095356003 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49650 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 資訊管理研究所 | zh_TW |
| dc.description (描述) | 95356003 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (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。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 6第一節 研究動機 6第二節 研究目的 9第二章 文獻探討 10第一節 EIA商品介紹 10ㄧ、 單資產連結 10二、 多資產連結 13第二節 蒙地卡羅模擬法介紹 14ㄧ、 反向變異法（Antithetic Variates） 17二、 控制變異法（Control Variates） 17第三章 研究方法與模型設定 20第一節 單資產Quanto模型 20第二節 多資產Quanto模型 24第四章 數值例子 27第一節 單資產Quanto EIA 27第二節 多資產Quanto EIA 32第五章 結論 73 | zh_TW |
| dc.format.extent | 44330 bytes | - |
| dc.format.extent | 86202 bytes | - |
| dc.format.extent | 59609 bytes | - |
| dc.format.extent | 109152 bytes | - |
| dc.format.extent | 288713 bytes | - |
| dc.format.extent | 345723 bytes | - |
| dc.format.extent | 198370 bytes | - |
| dc.format.extent | 497617 bytes | - |
| dc.format.extent | 122009 bytes | - |
| dc.format.extent | 50078 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0095356003 | en_US |
| dc.subject (關鍵詞) | 權益指數年金 | zh_TW |
| dc.subject (關鍵詞) | 匯率連動 | zh_TW |
| dc.subject (關鍵詞) | 變異數縮減 | zh_TW |
| dc.subject (關鍵詞) | 簡單年度重設 | zh_TW |
| dc.title (題名) | Quanto EIA的評價 | zh_TW |
| dc.title (題名) | Valuation of Quanto Equity Indexed Annuities | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Baxter, M. W., and A. J. O. Rennie, 1996. Financial Calculus: An Introduction to Derivative Pricing (Cambridge University Press). | zh_TW |
| dc.relation.reference (參考文獻) | Boyle, P., 1977, Options: A Monte Carlo approach, Journal of Financial Economics 4, 323-338. | zh_TW |
| dc.relation.reference (參考文獻) | Boyle, P., M. Broadie, and P. Glasserman, 1997, Monte Carlo methods for security pricing, Journal of Economic Dynamics and Control 21, 1267-1321. | zh_TW |
| dc.relation.reference (參考文獻) | 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. | zh_TW |
| dc.relation.reference (參考文獻) | Buetow, G. W., 1999, Ratchet options, Journal of Financial and Strategic Decisions 12, 17-30. | zh_TW |
| dc.relation.reference (參考文獻) | Den Iseger, P., and E. Oldenkamp, 2005, Cliquet options: pricing and Greeks in deterministic and stochastic volatility models, (working paper). | zh_TW |
| dc.relation.reference (參考文獻) | Glasserman, P., 2004. Monte Carlo Methods in Financial Engineering (Springer). | zh_TW |
| dc.relation.reference (參考文獻) | Hardy, M., 2003. Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance (Wiley). | zh_TW |
| dc.relation.reference (參考文獻) | Hardy, M., 2004, Ratchet equity indexed annuities, 14th Annual International AFIR Colloquium. | zh_TW |
| dc.relation.reference (參考文獻) | Hsieh, M., and Y. Chiu, 2007, Monte Carlo methods for valuation of ratchet equity indexed annuities, Simulation Conference, 2007 Winter 998-1003. | zh_TW |
| dc.relation.reference (參考文獻) | Hull, J., 2006. Options, futures, and other derivatives (Prentice Hall Upper Saddle River, NJ). | zh_TW |
| dc.relation.reference (參考文獻) | Insurancenewsnet, 2008, AnnuitySpecs.com Releases Fourth Quarter, 2007 Indexed Sales Results. Via <http://www.insurancenewsnet.com/ | zh_TW |
| dc.relation.reference (參考文獻) | article.asp?a=top_news&id=91540> [accessed March 1, 2008]. | zh_TW |
| dc.relation.reference (參考文獻) | 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. | zh_TW |
| dc.relation.reference (參考文獻) | Johnson, H., 1987, Options on the maximum or the minimum of several assets, Journal of Financial and Quantitative Analysis 22, 277-283. | zh_TW |
| dc.relation.reference (參考文獻) | Lee, H., 2002, Pricing equity-indexed annuities embedded with exotic options, (Contingencies) Jan/Feb 2002,34-38. | zh_TW |
| dc.relation.reference (參考文獻) | Lin, X. S., and K. S. Tan, 2003, Valuation of equity-indexed annuities under stochastic interest rates, North American Actuarial Journal 7, 72-91. | zh_TW |
| dc.relation.reference (參考文獻) | Mats, Kjaer, 2006, Fast pricing of cliquet options with global floor, Journal of Derivatives 14, 47-60. | zh_TW |
| dc.relation.reference (參考文獻) | 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. | zh_TW |
| dc.relation.reference (參考文獻) | 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). | zh_TW |
