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題名 A Recursive Formula for a Participating Contract Embedding a Surrender Option under a Regime-switching Model with Jump Risk: Evidence From The S&P 500 Stock Index
作者 Lin, Shih-Kuei ; Lin, Chien-Hsiu ; Chuang, Ming-Che ; Chou, Chia-Yu
林士貴;林建秀
貢獻者 金融系
關鍵詞 Participating contract; Recursive formula; Regime-switching model; Regime-switching model with jump risks; Volatility clustering
日期 2014.02
上傳時間 6-Mar-2014 16:22:52 (UTC+8)
摘要 This study proposes a recursive formula to value a surrenderable participating contract. To capture the dynamics of stock returns over expansion–recession cycles and the occurrence of catastrophic events, we assume the rate of return of the reference portfolio would follow a regime-switching model with jump risks. Our empirical results show that compared to the Black–Scholes model and the regime-switching model, the regime-switching model with jump risks can better explain the dynamics of the S&P 500 stock index. In addition, we give a recursive formula of a participating contract embedding a surrender option under a regime-switching model with jump risks. Sensitivity analysis shows that the changes of parameters of the regime-switching model with jump risks did influence participating contract premiums. The differences between valuations under the Black–Scholes model, the regime-switching model and the regime-switching model with jump risks suggest that it is critical to apply an appropriate model to value precisely a participating contract.
關聯 Economic modelling, 38, 341-350
資料類型 article
DOI http://dx.doi.org/http://dx.doi.org/10.1016/j.econmod.2014.01.011
dc.contributor 金融系en_US
dc.creator (作者) Lin, Shih-Kuei ; Lin, Chien-Hsiu ; Chuang, Ming-Che ; Chou, Chia-Yuen_US
dc.creator (作者) 林士貴;林建秀zh_TW
dc.date (日期) 2014.02en_US
dc.date.accessioned 6-Mar-2014 16:22:52 (UTC+8)-
dc.date.available 6-Mar-2014 16:22:52 (UTC+8)-
dc.date.issued (上傳時間) 6-Mar-2014 16:22:52 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/64474-
dc.description.abstract (摘要) This study proposes a recursive formula to value a surrenderable participating contract. To capture the dynamics of stock returns over expansion–recession cycles and the occurrence of catastrophic events, we assume the rate of return of the reference portfolio would follow a regime-switching model with jump risks. Our empirical results show that compared to the Black–Scholes model and the regime-switching model, the regime-switching model with jump risks can better explain the dynamics of the S&P 500 stock index. In addition, we give a recursive formula of a participating contract embedding a surrender option under a regime-switching model with jump risks. Sensitivity analysis shows that the changes of parameters of the regime-switching model with jump risks did influence participating contract premiums. The differences between valuations under the Black–Scholes model, the regime-switching model and the regime-switching model with jump risks suggest that it is critical to apply an appropriate model to value precisely a participating contract.en_US
dc.format.extent 431878 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Economic modelling, 38, 341-350en_US
dc.subject (關鍵詞) Participating contract; Recursive formula; Regime-switching model; Regime-switching model with jump risks; Volatility clusteringen_US
dc.title (題名) A Recursive Formula for a Participating Contract Embedding a Surrender Option under a Regime-switching Model with Jump Risk: Evidence From The S&P 500 Stock Indexen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.econmod.2014.01.011en_US
dc.doi.uri (DOI) http://dx.doi.org/http://dx.doi.org/10.1016/j.econmod.2014.01.011en_US