摘要
q远期合约是近年来J.P.摩根开发的基于Life Metrics死亡率指数的新型金融衍生工具,能够有效对冲长寿风险和极端死亡率风险。本文阐述了q远期合约的运行机制,给出了当死亡率服从双指数跳跃分布(DEJD)时的q远期合约的风险中性定价模型,并比较分析了q远期合约与普通生存互换的相同点与不同点。
As a new kind of financial derivatives based on Life Metrics mortality index, q-forwards have been recently developed by J. P. Morgan to effectively hedge against longevity risk and catastrophe mortality risk. This paper first elaborates the operational mechanism of q-forwards; then applies risk-neutral incomplete pricing method to generate a close-form pricing formula of q-forwards with DEJD morality model; finally performs a comparative analysis on the similar and different features between vanilla survivor swaps and q-forwards.
出处
《证券市场导报》
CSSCI
北大核心
2014年第3期67-71,共5页
Securities Market Herald
基金
教育部人文社科研究规划基金项目(编号:12YJA790152)的支持
