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Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return
Tsung-Yu Hsieh,Chi-Hsun Chou,Son-Nan Chen 한국증권학회 2014 Asia-Pacific Journal of Financial Studies Vol.43 No.4
We derive the pricing formulas for guaranteed contracts with guaranteed minimum rates ofreturn linked to cross-currency stochastic rates of return under a cross-currency framework. These rates are often embedded in contracts such as life and pension insurance policies, guaranteedinvestment contracts, and index-linked bonds. Valuation of such contracts has notbeen investigated in the previous literature. Our research finds that the past valuation ofthese rates via a single-currency framework causes significant underestimation under bothmaturity and (especially) multi-period guarantees. Our pricing formulas are more suitable,tractable, and feasible in practice than those in the previous literature.