Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model | Publication

Title	Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model
Creator	Hsieh, Tsung-Yu;Chen, Son-Nan 謝宗佑;陳松男
Contributor	金融系
Key Words	Pension
Date	2010-06
Date Issued	15-Sep-2015 14:43:02 (UTC+8)
Summary	We derive the pricing formulas for the guarantees embedded in defined contribution (DC) pension plans with the guaranteed minimum rate of return set relative to a LIBOR interest rate. The guaranteed rate associated with a stochastic LIBOR interest rate has not yet been studied in the relevant literature, particularly in the presence of stochastic interest rates. An extended LIBOR market model (LMM) is employed to price the interest rate guarantees embedded in DC pension plans under maturity and multi-period guarantees. The pricing formulas derived under the extended LMM are more tractable and feasible for practice than those derived under the instantaneous short rate models or the HJM model. Monte Carlo simulation is also provided to evaluate the accuracy of the theoretical results.
Relation	Journal of Financial Studies, 18(2), 27-64
Type	article

dc.contributor	金融系
dc.creator (作者)	Hsieh, Tsung-Yu;Chen, Son-Nan
dc.creator (作者)	謝宗佑;陳松男	zh_TW
dc.date (日期)	2010-06
dc.date.accessioned	15-Sep-2015 14:43:02 (UTC+8)	-
dc.date.available	15-Sep-2015 14:43:02 (UTC+8)	-
dc.date.issued (上傳時間)	15-Sep-2015 14:43:02 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/78481	-
dc.description.abstract (摘要)	We derive the pricing formulas for the guarantees embedded in defined contribution (DC) pension plans with the guaranteed minimum rate of return set relative to a LIBOR interest rate. The guaranteed rate associated with a stochastic LIBOR interest rate has not yet been studied in the relevant literature, particularly in the presence of stochastic interest rates. An extended LIBOR market model (LMM) is employed to price the interest rate guarantees embedded in DC pension plans under maturity and multi-period guarantees. The pricing formulas derived under the extended LMM are more tractable and feasible for practice than those derived under the instantaneous short rate models or the HJM model. Monte Carlo simulation is also provided to evaluate the accuracy of the theoretical results.
dc.format.extent	159 bytes	-
dc.format.mimetype	text/html	-
dc.relation (關聯)	Journal of Financial Studies, 18(2), 27-64
dc.subject (關鍵詞)	Pension
dc.title (題名)	Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model
dc.type (資料類型)	article	en