| 保本年金内置期权定价及实证研究 |
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| 引用本文： | 帅井山.保本年金内置期权定价及实证研究[J].价值工程,2008,27(5):161-163. |
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| 作者姓名： | 帅井山 |
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| 作者单位： | 电子科技大学管理学院,成都,610054 |
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| 摘 要： | 研究了一种企业年金产品——保本年金。先从理论上分析了保本年金的特性是一种内置期权,并运用Black-Scholes公式推导出这种内置期权的价格公式;分析了远期利率和人口生存率如何影响期权价格:期权价格随着远期利率的降低而增大,反之亦然;人口生存率越高,年金期权价格越高。
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| 关 键 词： | 保本年金 内置期权 定价 远期利率 |
| 文章编号： | 1006-4311(2008)05-0161-03 |
Pricing Guaranteed Annuity Embeded Option and Empirical Study |
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| Shuai Jingshan.Pricing Guaranteed Annuity Embeded Option and Empirical Study[J].Value Engineering,2008,27(5):161-163. |
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| Authors: | Shuai Jingshan |
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| Abstract: | This paper mainly discusses the basic characters of the guarantee annuity by quality and quantitative analysis. For details, guarantee annuity is concerned as a kind of embedded option, and the price of which is calculated, followed Black-Scholes Formula. According to the results, some factors influenced embedded option's price are analyzed. |
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| Keywords: | Guarantee annuity embeded option pricing forward interest rate |
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