摘要
研究了一种企业年金产品——保本年金。先从理论上分析了保本年金的特性是一种内置期权,并运用Black-Scholes公式推导出这种内置期权的价格公式;分析了远期利率和人口生存率如何影响期权价格:期权价格随着远期利率的降低而增大,反之亦然;人口生存率越高,年金期权价格越高。
This paper mainly discusses the basic characters of the guarantee annuity by quality and quantitative analysis. For details, guarantee annuity is concerned as a kind of embedded option, and the price of which is calculated, followed Black-Scholes Formula. According to the results, some factors influenced embedded option＇s price are analyzed.
出处
《价值工程》
2008年第5期161-163,共3页
Value Engineering
关键词
保本年金
内置期权
定价
远期利率
Guarantee annuity
embeded option
pricing
forward interest rate
