| 随机利率下权益指数年金定价 |
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| 引用本文： | 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. |
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| 作者姓名： | 曹兵兵 郭峰涛 |
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| 作者单位： | 重庆大学数学与统计学院,重庆,401331 |
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| 基金项目： | 中央高校基本科研业务费资助 |
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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。
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| 关 键 词： | 随机利率 风险中性定价 参与率 等价鞅测度 Girsanov定理 |
Pricing of Equity Indexed Annuities under Stochastic Inerest Rate |
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| 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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| Authors: | CAO Bing-bing GUO Feng-tao |
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| Institution: | (College of Mathematics and Statistics,Chongqing University,Chongqing 401331,China) |
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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. |
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| Keywords: | stochastic interest rate risk-neutral pricing participation rate equivalent martingale measure Girsanov Theorem |
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