摘要
在随机利率的条件下,当股票价格服从对数正态分布时,利用Martingale Pricing方法推导出了简单点对点法和年度重设法下权益指数年金的定价公式,并就随机利率的波动率、股价波动率、递延期间对均衡参与率的影响程度进行了敏感度分析。
Under the condition of stochastic interest rate,when stock prices follow logarithm normal distribution,Martingale Pricing method is used to derive the equity indexed annuities pricing formula under the law of simple point-to-point method and annual re-try method.Also,sensitivity analysis is carried out for the impact of stochastic interest rate volatility,stock price volatility and deferred period on balanced participation rate.
出处
《重庆工商大学学报（自然科学版）》
2012年第9期22-28,共7页
Journal of Chongqing Technology and Business University:Natural Science Edition
基金
中央高校基本科研业务费资助(CDJXS11100048)
关键词
随机利率
风险中性定价
参与率
等价鞅测度
GIRSANOV定理
stochastic interest rate； risk-neutral pricing； participation rate； equivalent martingale measure； Girsanov Theorem
