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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/71757

    Authors: 謝明翰;Heish,Ming-Han
    Contributors: 財務金融學系
    Keywords: 動態型保本基金;隨機利率;跳躍過散;拉普拉斯轉換
    Date: 2016-07-06
    Issue Date: 2016-10-13 13:50:44 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 摘要
    本文主要在討論基金價格的利率風險以及跳躍風險,文章中假設標的基金價格服從雙重指數跳躍擴散過程,另外假設利率過程服從Vasicek model。文章中推導出動態保本型基金的價格公式,並利用Laplace轉換求出價格封閉解,最後利用Gaver-Stehfest演算法進行拉普拉斯逆轉換,有效求出動態保本型基金價格。
    ;In this thesis we discuss how the interest rate risk and jump diffusion risk effect the value of dynamic guaranteed fund. We assume the dynamic underlying of the guaranteed fund follows a double exponential jump process and stochastic interest rate process follows Vasicek model. We then derive the dynamic guaranteed fund’s pricing formula, and use Laplace transform to obtain closed-form solution. Finally, in order to calculate more efficiently, we apply Gaver-Stehfest algorithm to Laplace inverse to obtain dynamic guaranteed fund values. We also provide numerical results. We analyze the different results with different jump-related parameters and interest rate-related parameters. We find that both of the interest rate risk and jump risk can significantly affect the value of dynamic guaranteed funds.
    Key Words: Dynamic Guaranteed Fund, Vasicek Model, Double Exponential Jump, Laplace Transform, Gaver-Stehfest Algorithm
    Appears in Collections:[財務金融研究所] 博碩士論文

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