A Dimension-Reduction Algorithm for the Valuation of Surrender Option in EIA Contracts with Stochastic Interest Rates
碩士 === 逢甲大學 === 統計與精算所 === 99 === This paper proposes a fast algorithm for the fair valuation of a ratchet-type equity-indexed annuity (EIA) contract with surrender options under Vasicek stochastic interest rate models. This paper first applies the Black-Scholes method to reduce the two-dimensional...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/57992034664269667303 |