Valuation of Early Exercisable Interest Rate Guarantees
Valuation of Early Exercisable Interest Rate Guarantees
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DOI：
10.2307/253761
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发表时间：
1997-09
影响因子：
1.9
通讯作者：
Anders Grosen;Peter Løchte Jørgensen
中科院分区：
文献类型：
--
作者：
Anders Grosen;Peter Løchte Jørgensen
利率担保是当今金融市场中许多金融合同的重要要素。例如，人寿保险单通常包含明确的利率保证，以确保投资者在某些指定期间的一定最低收益。有时，利率保证是美国类型的，因为它适用于投资者选择的一段时间。在人寿保险合同中，这被标记为投降功能。本文分析了美国或早期可行利率担保的估值。我们借鉴了有关美国期权定价理论的一些最新结果，以获得利率保证的分析公式。理论结果伴随着数值示例，并与欧洲类型的保证进行了比较。
Interest rate guarantees are important elements of many financial contracts offered in today's financial markets. For example, life insurance policies often contain an explicit interest rate guarantee that ensures the investor a certain minimum return during some specified period. Sometimes the interest rate guarantee is of American type in the sense that it applies for a period of time chosen by the investor. In life insurance contracts this is labeled the surrender feature. This article analyzes the valuation of American or early exercisable interest rate guarantees. We draw on some recent results on American option pricing theory to obtain analytic formulas for the interest rate guarantees. The theoretic results are accompanied by numerical examples, and comparisons to European type guarantees are made.