Two Essays on Valuation of Lease Contracts and Pension Plans

• Main Authors: Hsiao-Wei Ho, 何曉緯
• Other Authors: Chuang-Chang Chang
• Format: Others
• Language: en_US
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/55607484761627135281

博士 === 國立中央大學 === 財務金融學系 === 101 === This study contains two essays on the valuation of lease contracts and pension plans. In Essay 1, we propose an integrated reduced form model to calculate the values of adjust-able-rate leases that have an embedded cancellation option, a purchase option, and default risk. Numerical results reveal that the interest-rate volatility, the market prices of risk, as well as the likelihoods of default, cancellation, and purchase have significant impacts on the lease term structure. Furthermore, the positive values of the default risk premium, the cancellation option, and the purchase option embedded in the lease contract reveal that the lessor will require a sig-nificant risk premium in the initial rent of the lease contract. In Essay 2, we propose three types of defined contribution pension plans associated with the minimum inflation rate guarantees and derive the corresponding valuation formulae respectively. We incorporate an asset price dynamics into Jarrow and Yildirim’s (2003) model and generalize it from a three-factor HJM model to a m-factor model to specify the processes of the nominal in-terest rates, the real interest rates, the inflation rates, as well as the asset prices. The empirical results reveal that the all the values for three types of guarantees are greater if the current (nomi-nal) interest rate level is relatively lower and the inflation rate is relatively higher. Furthermore, the multi-period inflation guarantees are more valuable than the other two types of guarantees.