Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return
Author:
Affiliation:
1. Department of Banking and Finance; Tamkang University
2. Department of Management; Fo Guang University
3. Shanghai Advanced Institute of Finance; Shanghai Jiao Tong University
Funder
National Science Council Taiwan
Publisher
Wiley
Subject
Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/ajfs.12059/fullpdf
Reference32 articles.
1. Pricing foreign currency options under stochastic interest rates;Amin;Journal of International Money and Finance,1991
2. Pricing of multi-period rate of return guarantees: The Monte Carlo approach;Bakken;Insurance: Mathematics and Economics,2006
3. The pricing of commodity contracts;Black;Journal of Financial Economics,1976
4. Reserving for maturity guarantees: Two approaches;Boyle;Insurance: Mathematics and Economics,1997
5. Equilibrium prices of guarantees under equity-linked contracts;Boyle;Journal of Risk and Insurance,1977
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