论文部分内容阅读
本文利用风险中性定价方法,不考虑死亡因素,在利率服从Vasicek均值复归模型,标底资产价格服从几何布朗运动的假设下,计算万能险万能账户中最低保证收益率期权的公允价值.考虑保单持有人可以退保,文章利用最小二乘蒙特卡罗方法计算内嵌退保期权的公允价值.此外,文章在给定的定价框架内,对比了固定利率假设与随机利率假设下内嵌期权公允价值对初始利率与均衡利率变化的敏感度,计算其公允价值对资产波动率的变化情况,并初步讨论了最小化结算利率波动的平滑机制选择办法.
In this paper, we use the risk-neutral pricing method to calculate the fair value of the minimum guaranteed rate of return in the omnipotent insurance universal account under the assumption that the interest rate obeys the Vasicek average return model and the underlying asset price obeys the geometric Brownian motion, without considering the factor of death. Some people can surrender, the article uses the least squares Monte Carlo method to calculate the fair value of embedded surrender option.In addition, the article in a given pricing framework, compared the fixed interest rate hypothesis and random interest rate hypothesis fairness embedded option The sensitivity of the value to the change of the initial interest rate and the equilibrium interest rate, the change of the fair value to the asset volatility is calculated, and the smooth mechanism of the minimum settlement rate volatility is also discussed.