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題名 A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices
作者 林士貴
Lin, Shih-Kuei;Lin, Chien-Hsiu;Chuang, Ming-Che;Chou, Chia-Yu
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 2008
上傳時間 8-Dec-2015 17:30:47 (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/10.1016/j.econmod.2014.01.011
dc.contributor 金融系
dc.creator (作者) 林士貴zh_TW
dc.creator (作者) Lin, Shih-Kuei;Lin, Chien-Hsiu;Chuang, Ming-Che;Chou, Chia-Yu
dc.date (日期) 2008
dc.date.accessioned 8-Dec-2015 17:30:47 (UTC+8)-
dc.date.available 8-Dec-2015 17:30:47 (UTC+8)-
dc.date.issued (上傳時間) 8-Dec-2015 17:30:47 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/79600-
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.
dc.format.extent 455704 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Economic Modelling,38,341-350
dc.subject (關鍵詞) Participating contract; Recursive formula; Regime-switching model; Regime-switching model with jump risks; Volatility clustering
dc.title (題名) A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1016/j.econmod.2014.01.011
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.econmod.2014.01.011