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| 摘要: |
| 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全的定价公式，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。 |
| 关键词: 随机利率 风险中性定价 参与率 等价秧测度 Girsanow定理 |
| DOI： |
| 分类号: |
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| Pricing of Equity Indexed Annuities under Stochastic Inerest Rate |
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CAO Bing-bing,GUO Feng-tao
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| Abstract: |
| Under the condition of stochastic inerest rate,when stock prices follow logarithm normal distribution,Maringale 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. |
| Key words: stochastic interesr rate risk-neutral pricing participation rate equivalent martingal meaesure Girsanov Theorem |
