Pricing Equity-Linked Certificate of Deposit in a Stochastic Interest Rate Framework

• Main Authors: Wei-Tzu Liu, 劉韋慈
• Other Authors: Minghsiang Huang
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/57984873320963115288

碩士 === 逢甲大學 === 財務金融學所 === 91 === This study formulated two different behavior models, A-J option model and Monte-Carlo simulation with CIR framework, to price the Equity-Linked Certificate of Deposit (ELCD) under a stochastic interest rate framework. Furthermore, the optimal participation rate has been estimated utilizing Monte-Carlo model. Unlike the standard approach in which CD is usually inked to the return of an equity market index, this study allows the pricing behavior model utilizing a return of a balanced portfolio as a proxy of a market linkage. Two ELCDs issued by Murrary Savings and Chase Manhattan in 1988 and 1989 have been utilized to empirical verify the usefulness of the two proposed underlying models.