Pricing of Rate of Return Guarantees on Multi-period Assets
نویسنده
چکیده
The basis for this paper is the pricing of multi-period rate of return guarantees. These guarantees can typically be found in life insurance and pension contracts. We derive closed form solutions, expressed by the cumulative multivariate normal probability distribution, for multiperiod rate of return guarantees on both a money market account and a stock. The guarantees of Hipp (1996), Persson and Aase (1997), and Miltersen and Persson (1999) can be seen to be special cases of our results.
منابع مشابه
Applicability of Capital Assets Pricing Model (CAPM) on Pakistan Stock Markets
Capital Assets Pricing Model is used as a tool for the estimation of Investments in Capital Markets with the relation of Expected return and Risk on Securities. This study examines the applicability of CAPM on Pakistan Stock Markets and Karachi Stock Exchange being the main capital market of Pakistan is taken for the study. The analysis is done by taking a sample of 10 performing companies of 1...
متن کاملAn Application of Discounted Residual Income for Capital Assets Pricing by Method Curve Fitting with Sinusoidal Functions
The basic model for valuation of firm is the Dividend Discount Model (DDM). When investors buy stocks, they expect to receive two types of cash flow: dividend in the period during which the stock is owned, and the expected sales price at the end of the period. In the extreme example, the investor keeps the stock until the company is liquidated; in such a case, the liquidating dividend becomes t...
متن کاملInvestigating the effect of herd behavior in the Iranian economy on the efficiency criteria of the asset pricing model
The capital asset pricing model provides an equilibrium model to show the relationship between risk and return on assets. One of the economic areas is herd behavior, which has attracted a lot of attention in recent decades. Therefore, the present study deals with the herd behavior in the Iranian economy on the efficiency criteria of the asset pricing model. The research method used in this rese...
متن کاملThe Effect of Uncertainty of Macroeconomic Indicators on Tehran Stock Exchange Return With an Approach of the TVP-SV Model
One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, por...
متن کاملA Multi-Objective Fuzzy Approach to Closed-Loop Supply Chain Network Design with Regard to Dynamic Pricing
During the last decade, reverse logistics networks received a considerable attention due to economic importance and environmental regulations and customer awareness. Integration of leading and reverse logistics networks during logistical network design is one of the most important factors in supply chain. In this research, an Integer Linear Programming model is presented to design a multi-layer...
متن کامل