PRICING DYNAMIC GUARANTEED FUND WITH JUMP RISK AND INTEREST RATE RISK

• Main Authors: Ming-Han Heish, 謝明翰
• Other Authors: 張傳章
• Format: Others
• Language: en_US
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/68828881019884098677

碩士 === 國立中央大學 === 財務金融學系 === 104 === In this thesis we discuss how the interest rate risk and jump diffusion risk effect the value of dynamic guaranteed fund. We assume the dynamic underlying of the guaranteed fund follows a double exponential jump process and stochastic interest rate process follows Vasicek model. We then derive the dynamic guaranteed fund’s pricing formula, and use Laplace transform to obtain closed-form solution. Finally, in order to calculate more efficiently, we apply Gaver-Stehfest algorithm to Laplace inverse to obtain dynamic guaranteed fund values. We also provide numerical results. We analyze the different results with different jump-related parameters and interest rate-related parameters. We find that both of the interest rate risk and jump risk can significantly affect the value of dynamic guaranteed funds. Key Words: Dynamic Guaranteed Fund, Vasicek Model, Double Exponential Jump, Laplace Transform, Gaver-Stehfest Algorithm