Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 陈伟森教授 (金融学系) |
| 伍卓贤教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.irfa.2010.12.001 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/1WOS source URL
其它资讯
摘要The variable annuity market in Japan is still young, but growing rapidly. Most variable annuities in Japan are sold with one or more investment guarantees, such as a Guaranteed Minimum Maturity Benefit (GMMB), which guarantees that the ultimate annuity principal will not fall below a pre-set level regardless of the underlying investment performance. Of interest to financial institutions selling variable annuities is the cost associated with such a guarantee. Although the Black-Scholes option pricing formula can be applied readily, the resulting price might be inaccurate because returns on the Japanese stock price index do not seem to behave as assumed in the formula. In this study, we propose a method for valuing investment guarantees on the basis of a GARCH-type model, which better captures the characteristics of the stock price index. A difficulty in option-pricing with GARCH is the identification of a risk-neutral probability measure. We solve this problem by considering the conditional Esscher transform. Computational details of the proposed method are illustrated by valuing costs of two popular investment guarantees in Japan. (C) 20http://aims.cuhk.edu.hk/converis/portal/Publication/10 Elsevier Inc. All rights reserved.
着者Ng ACY, Li JSH, Chan WS
期刊名称International Review of Financial Analysis
出版年份20http://aims.cuhk.edu.hk/converis/portal/Publication/1http://aims.cuhk.edu.hk/converis/portal/Publication/1
月份http://aims.cuhk.edu.hk/converis/portal/Publication/1
日期http://aims.cuhk.edu.hk/converis/portal/Publication/1
卷号20
期次http://aims.cuhk.edu.hk/converis/portal/Publication/1
出版社ELSEVIER SCIENCE INC
页次20 - 26
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/1057-52http://aims.cuhk.edu.hk/converis/portal/Publication/19
电子国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/1873-8079
语言英式英语
关键词Esscher transform; Investment guarantees; Variable annuities
Web of Science 学科类别Business & Economics; Business, Finance
