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      KCI등재 SSCI

      Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return

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      https://www.riss.kr/link?id=A105007163

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      다국어 초록 (Multilingual Abstract)

      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 ...

      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.

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      참고문헌 (Reference)

      1 Persson, S. A., "Valuation of the minimum guaranteed return embedded in life insurance products" 64 : 599-617, 1997

      2 Yang, S. S., "Valuation of the interest rate guarantee embedded in defined contribution pension plans" 42 : 920-934, 2008

      3 Grosen, A., "Valuation of early exercisable interest rate guarantees" 64 : 481-503, 1997

      4 Brace, A., "Towards a central interest rate model" 1998

      5 Pennacchi, G. G., "The value of guarantees on pension fund returns" 66 : 219-237, 1999

      6 Brennan, J. M., "The pricing of equity-linked life insurance policies with an asset value guarantee" 3 : 195-213, 1976

      7 Black, F., "The pricing of commodity contracts" 3 : 167-179, 1976

      8 Brace, A., "The market model of interest rate dynamics" 7 : 127-147, 1997

      9 Shreve, S., "Stochastic calculus for finance II: Continuous-time models" Springer Verlag 2004

      10 Duffie, D., "Security markets: Stochastic models" Academic Press 1988

      1 Persson, S. A., "Valuation of the minimum guaranteed return embedded in life insurance products" 64 : 599-617, 1997

      2 Yang, S. S., "Valuation of the interest rate guarantee embedded in defined contribution pension plans" 42 : 920-934, 2008

      3 Grosen, A., "Valuation of early exercisable interest rate guarantees" 64 : 481-503, 1997

      4 Brace, A., "Towards a central interest rate model" 1998

      5 Pennacchi, G. G., "The value of guarantees on pension fund returns" 66 : 219-237, 1999

      6 Brennan, J. M., "The pricing of equity-linked life insurance policies with an asset value guarantee" 3 : 195-213, 1976

      7 Black, F., "The pricing of commodity contracts" 3 : 167-179, 1976

      8 Brace, A., "The market model of interest rate dynamics" 7 : 127-147, 1997

      9 Shreve, S., "Stochastic calculus for finance II: Continuous-time models" Springer Verlag 2004

      10 Duffie, D., "Security markets: Stochastic models" Academic Press 1988

      11 Boyle, P. P., "Reserving for maturity guarantees: Two approaches" 21 : 113-127, 1997

      12 Lindset, S., "Relative guarantees" 29 : 187-209, 2004

      13 Miltersen, K. R., "Pricing rate of return guarantee in a Heath-Jarrow-Morton framework" 25 : 307-325, 1999

      14 Bakken, H., "Pricing of multi-period rate of return guarantees: The Monte Carlo approach" 39 : 135-149, 2006

      15 Lindset, S., "Pricing of multi-period rate of return guarantees" 33 : 629-644, 2003

      16 Amin, K. I., "Pricing foreign currency options under stochastic interest rates" 10 : 310-329, 1991

      17 Rebonato, R., "On the simultaneous calibration of multifactor lognormal interest rate models to black volatilities and to the correlation matrix" 2 : 5-27, 1999

      18 Hansen, M., "Minimum rate of return guarantees: The Danish case" 4 : 280-318, 2002

      19 Harrison, J. M., "Martingales and arbitrage in multiperiod securities markets" 20 (20): 381-408, 1979

      20 Musiela, M., "Martingale methods in financial modelling, 2nd edn" Springer Verlag 2005

      21 Svoboda, S., "Interest rate modelling" Palgrave Macmillan 2004

      22 Walker, K. L., "Guaranteed investment contracts: Risk analysis and portfolio strategies" Irwin 1992

      23 Rogers, C., "Gaussian errors" 9 : 42-45, 1996

      24 Grosen, A., "Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies" 26 : 37-57, 2000

      25 Ekern, S., "Exotic unit-linked life insurance contracts" 21 : 35-63, 1996

      26 Brace, A., "Exact fit to the swaption volatility matrix using semidefinite programming" 2000

      27 Boyle, P. P., "Equilibrium prices of guarantees under equity-linked contracts" 44 : 639-660, 1977

      28 Wu, T. P., "Cross-currency equity swaps with the BGM model" 15 : 60-76, 2007

      29 Heath, D., "Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation" 60 : 77-105, 1992

      30 Vasicek, O., "An equilibrium characterization of the term structure" 5 : 177-188, 1977

      31 Cox, J. C., "A theory of the term structure of interest rates" 53 : 385-407, 1985

      32 Schlogl, E., "A multicurrency extension of the lognormal interest rate market models" 6 : 173-188, 2002

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2023 평가예정 해외DB학술지평가 신청대상 (해외등재 학술지 평가)
      2020-01-01 평가 등재학술지 유지 (해외등재 학술지 평가) KCI등재
      2009-09-04 학술지명변경 한글명 : 증권학회지 -> Asia-Pacific Journal of Financial Studies KCI등재
      2009-01-01 평가 학술지 분리 (기타) KCI등재
      2006-01-01 평가 SSCI 등재 (등재유지) KCI등재
      2004-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2001-07-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      1999-01-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.6 0.35 0.51
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.52 0.51 0.716 0
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