期刊論文1. | Bakken, H.、Lindset, S.、Olson, L. H.(2006)。Pricing of Multiperiod Rate of Return Guarantees: The Monte Carlo Approach。Insurance: Mathematics and Economics,39,135-149。 |
2. | Grosen, Anders、Jørgensen, Peter Løchte(2000)。Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies。Insurance: Mathematics and Economics,26(1),37-57。 |
3. | 謝宗祐、陳松男(20100600)。Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model。財務金融學刊,18(2),27-64。 |
4. | Hsieh, T. Y.、Chen, S. N.(2014)。Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return。Asia-Pacific Journal of Financial Studies,43(4),589-619。 |
5. | Miltersen, K. R.、Persson, S. A.(1999)。Pricing Rate of Return Guarantee in a Heath-Jarrow-Morton Framework。Insurance: Mathematics and Economics,25,307-325。 |
6. | Amin, K. I.、Jarrow, R. A.(1991)。Pricing Foreign Currency Options under Stochastic Interest rates。Journal of International Money and Finance,10(3),310-329。 |
7. | Brace, Alan、Gatarek, Dariusz、Musiela, Marek(1997)。The Market Model of Interest Rate Dynamics。Mathematical Finance,7(2),127-155。 |
8. | Boyle, P. P.、Hardy, M. R.(1997)。Reserving for Maturity Guarantees: Two Approaches。Insurance: Mathematics and Economics,21(2),113-127。 |
9. | Boyle, P. P.、Schwartz, E. S.(1977)。Equilibrium Prices of Guarantees Under Equity-Linked Contracts。Journal of Risk and Insurance,44(4),639-660。 |
10. | Brennan, Michael J.、Schwartz, Eduardo S.(1976)。The Pricing of Equity-linked Life Insurance Policies with an Asset Value Guarantee。Journal of Financial Economics,3(3),195-213。 |
11. | Grosen, A.、Jørgensen, P. L.(1997)。Valuation of Early Exercisable Interest rate Guarantees。Journal of Risk and Insurance,64(3),481-503。 |
12. | Hansen, M.、Miltersen, K. R.(2002)。Minimum Rate of Return Guarantees: the Danish Case。Scandinavian Actuarial Journal,4,280-318。 |
13. | Harrison, J. M.、Kreps, D. M.(1979)。Martingales and Arbitrage in Multiperiod Securities Markets。Journal of Economic Theory,20(3),381-408。 |
14. | Lindset, S.(2003)。Pricing of multi-period rate of return guarantees。Insurance: Mathematics and Economics,33,629-644。 |
15. | Lindset, Snorre(2004)。Relative Guarantees。The Geneva Papers on Risk and Insurance Theory,29(2),187-209。 |
16. | Pennacchi, G. G.(1999)。The Value of Guarantees on Pension Fund Returns。Journal of Risk and Insurance,66,219-237。 |
17. | Rebonato, R.(1999)。On the Simultaneous Calibration of Multifactor Lognormal Interest Rate Models to Black Volatilities and to the Correlation Matrix。The Journal of Computational Finance,2(4),5-27。 |
18. | Schlogl, E.(2002)。A Multicurrency Extension of the Lognormal Interest Rate Market Models。Finance and Stochastics,6(2),173-188。 |
19. | Wu, T. P.、Chen, S. N.(2007)。Cross-currency Equity Swaps with the BGM Model。Journal of Derivatives,15(2),60-76。 |
20. | Yang, S. S.、Yueh, M. L.、Tang, C. H.(2008)。Valuation of the Interest Rate Guarantee Embedded in Defined Contribution Pension Plans。Insurance: Mathematics and Economics,42,920-934。 |
21. | Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A theory of the term structure of interest rates。Econometrica,53(2),385-407。 |
22. | Ekern, S.、Persson, S. A.(1996)。Exotic Unit-linked Life Insurance Contracts。The Geneva Papers on Risk and Insurance Theory,21,35-63。 |
23. | Persson, S.-A.、Aase, K. K.(1997)。Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products。Journal of Risk and Insurance,64,599-617。 |
24. | Heath, David C.、Jarrow, Robert A.、Morton, Andrew J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica,60(1),77-105。 |
25. | Margrabe, William(1978)。The Value of an Option to Exchange One Asset for Another。The Journal of Finance,33(1),177-186。 |
26. | Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。 |