相對權益連結型報酬率保證之評價──在單幣別／跨幣別架構下

Pricing Relative Equity-Linked Guarantees under a Single/Cross-Currency Framework

本文針對財務保證契約中的「相對權益連結型報酬率保證」之價值進行評價，此最低報酬率保證連結至權益型資產的報酬率，並依連結標的之計價幣別區分為單幣別型（GSSR）與跨幣別型（GCSR）。GSSR與GCSR常附在保險、退休金與投資型契約等類型的財務契約中。在以往有關權益連結型報酬率保證之評價的相關文獻中尚未有相關的研究。文中亦發現若採用以往文獻中的單一幣別架構評價GCSR將會造成到期保證下（maturity guarantee）的GCSR被顯著地低估。相較以往的文獻，文中的評價公式更適合於實務上的運用。

This study derives the pricing formulas for guaranteed contracts whose guaranteed minimum rates of return are linked to single-currency and cross-currency stochastic rates of return on equity-type assets, denoted by “GSSRs and GCSRs”, respectively. GSSRs and GCSRs are often embedded in contracts which include life and pension insurance policies, guaranteed investment contracts, etc. The valuation of such guaranteed contracts has not yet been investigated in previous literature regarding equity-linked guarantees. The past valuation of GCSRs via a single-currency framework is found to cause a significant underpricing of GCSRs under maturity guarantee. Our pricing formulas are more suitable and feasible for practice than those given in previous relevant literature.