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    ASIAIR > College of Management > Department of Finance > Proceedings >  Item 310904400/63695


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63695


    Title: Valuation of Guarantees Set Relative to Cross-Currency Stochastic Rates of Return
    Authors: Tsung-Yu Hsieh, Chi-Hsun Chou,Son-Nan Chen
    Contributors: Department of Banking and Finance, Tamkang University,Department of Management, Fo Guang University,Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University
    Keywords: Stochastic, Rate of Return Guarantee, Cross-currency, Interest rate, LIBOR Market Model
    Date: 2012
    Issue Date: 2013-08-07 09:27:33 (UTC+8)
    Publisher: Department of Banking and Finance, Tamkang University,Department of Management, Fo Guang University,Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University
    Abstract: We derive the pricing formulas for guarantees whose guaranteed minimum rates of
    return are set relative to cross-currency stochastic rates of return, “GCSRs” for short, via a
    cross-currency framework. GCSRs are often embedded in contracts which include life and
    pension insurance policies, guaranteed investment contracts and index-linked bonds, etc.
    The valuation of such guarantees has not been investigated in previous literature regarding
    guarantees. Our research finds that valuing GCSRs via a single-currency framework
    which is adopted in previous research on guarantees causes a significant underestimation
    of GCSRs under both maturity and multi-period guarantee. The underestimation of
    multi-period guarantee is much more significant than that of maturity guarantee. As a
    result, the pricing formulas derived in our research are more suitable, tractable and
    feasible for practice than those in previous relevant literature.
    Relation: 2012中部學術財金研討會 論文發表
    Appears in Collections:[Department of Finance] Proceedings

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