| dc.contributor.advisor | 陳松男 | zh_TW |
| dc.contributor.advisor | Chen, Son Nan | en_US |
| dc.contributor.author (Authors) | 邱于芬 | zh_TW |
| dc.contributor.author (Authors) | Chiu, Yu Fen | en_US |
| dc.creator (作者) | 邱于芬 | zh_TW |
| dc.creator (作者) | Chiu, Yu Fen | en_US |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 27-Jun-2013 16:21:48 (UTC+8) | - |
| dc.date.available | 27-Jun-2013 16:21:48 (UTC+8) | - |
| dc.date.issued (上傳時間) | 27-Jun-2013 16:21:48 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0913525081 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/58583 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 91352508 | zh_TW |
| dc.description (描述) | 99 | zh_TW |
| dc.description.abstract (摘要) | Quanto EIA是一種具有選擇權特性且能連結至外幣投資的保險年金商品.以往針對權益連動年金所做的文獻中,均未考慮Quanto的特性.本文利用風險中立評價法求算出六種具有Quanto特性的鎖高型權益連動年金商品的評價公式,並進一步利用數值分析來探討各個契約及市場參數對契約價值的影響. | zh_TW |
| dc.description.abstract (摘要) | Quanto Ratchet EIAs link to foreign investments and provide options-like properties. The literature covers the pricing of the EIAs that are not quantos. This paper intends to fill the hole. To derive the pricing formulas, we added an exchange rate model as well as a foreign risk-free rate model to the pricing framework of Black and Scholes. Our formulas cover quanto ratchet EIA products for both compound and simple versions that may have a return cap and employ two types of geometric return averaging. We further provide numerical analyses on how contract features and market parameters affect the contract value. | en_US |
| dc.description.tableofcontents | 1. INTRODUCTION 52. PRODUCT SPECIFICATION AND VALUATION 82.1 Product Specification 82.2 Risk-Neutral Valuation 103. PRICING FORMULAS 133.1 Quanto Ratchet EIAs without Index Averaging 133.1.1 Simple Quanto Ratchet EIAs 133.1.2 Compound Quanto Ratchet EIAs 153.2 Quanto Ratchet EIAs with G1 Index Averaging 153.3 Quanto Ratchet EIAs with G2 Index Averaging 174. NUMERICAL ILLUSTRATIONS 204.1 Valuation Examples 204.2 Parameter Analyses 204.2.1 Impact of return cap 214.2.2 Impact of Return Floor Rate 234.2.3 Impact of Participation Rate 244.2.4 Impact of Return Averaging 254.2.5 Impact of the Volatility of Linked Index 264.2.6 Impact of the Volatility of Exchange Rate 274.2.7 Impact of the correlation coefficient of log(S(t)) and log(C(t)) 284.2.8 Impact of the Domestic Risk-Free Rate 294.2.9 Impact of the Foreign Risk-Free Rate 305. CONCLUSIONS 31References 35 | zh_TW |
| dc.format.extent | 571200 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0913525081 | en_US |
| dc.subject (關鍵詞) | 權益連動年金 | zh_TW |
| dc.subject (關鍵詞) | 外匯 | zh_TW |
| dc.subject (關鍵詞) | 風險中立評價 | zh_TW |
| dc.subject (關鍵詞) | Equity-indexed annuities | en_US |
| dc.subject (關鍵詞) | foreign exchange | en_US |
| dc.subject (關鍵詞) | risk-neutral valuation | en_US |
| dc.title (題名) | 具Quanto特性的鎖高型權益連動年金之評價 | zh_TW |
| dc.title (題名) | Pricing Ratchet Equity-Indexed Annuities with Quanto Features | en_US |
| dc.type (資料類型) | thesis | en |
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