重庆工商大学学报:自然科学版
重慶工商大學學報:自然科學版
중경공상대학학보:자연과학판
Journal of Chongqing Technology and Business University:Natural Science Edition
2012年
9期
22-28
,共7页
随机利率%风险中性定价%参与率%等价鞅测度%Girsanov定理
隨機利率%風險中性定價%參與率%等價鞅測度%Girsanov定理
수궤리솔%풍험중성정개%삼여솔%등개앙측도%Girsanov정리
stochastic interest rate%risk-neutral pricing%participation rate%equivalent martingale measure%Girsanov Theorem
在随机利率的条件下,当股票价格服从对数正态分布时,利用Martingale Pricing方法推导出了简单点对点法和年度重设法下权益指数年金的定价公式,并就随机利率的波动率、股价波动率、递延期间对均衡参与率的影响程度进行了敏感度分析。
在隨機利率的條件下,噹股票價格服從對數正態分佈時,利用Martingale Pricing方法推導齣瞭簡單點對點法和年度重設法下權益指數年金的定價公式,併就隨機利率的波動率、股價波動率、遞延期間對均衡參與率的影響程度進行瞭敏感度分析。
재수궤리솔적조건하,당고표개격복종대수정태분포시,이용Martingale Pricing방법추도출료간단점대점법화년도중설법하권익지수년금적정개공식,병취수궤리솔적파동솔、고개파동솔、체연기간대균형삼여솔적영향정도진행료민감도분석。
Under the condition of stochastic interest rate,when stock prices follow logarithm normal distribution,Martingale Pricing method is used to derive the equity indexed annuities pricing formula under the law of simple point-to-point method and annual re-try method.Also,sensitivity analysis is carried out for the impact of stochastic interest rate volatility,stock price volatility and deferred period on balanced participation rate.