随机利率下权益指数年金定价

Pricing of Equity Indexed Annuities under Stochastic Inerest Rate
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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。

    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.

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曹兵兵,郭峰涛.随机利率下权益指数年金定价[J].重庆工商大学学报(自然科学版),2012,29(9):22-28
CAO Bing-bing, GUO Feng-tao. Pricing of Equity Indexed Annuities under Stochastic Inerest Rate[J]. Journal of Chongqing Technology and Business University(Natural Science Edition),2012,29(9):22-28

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