Article

Évaluation en Fair Value de Contrats Participatifs

in Finance, 26 (1)

ISSN : 0752-6180

Bernard, Carole ; Le Courtois, Olivier (1975-....) ; Quittard-Pinon, François (1945-....)

Appartient à : «Finance»

This study is dedicated to the valuation, in the presence of stochastic interest rates and default risk, of participating contracts guaranteeing the growth of an initial capital at a given interest rate and maturity. The participating contracts considered here are typical in the actuarial literature; yet, we can claim these are financial contracts, and indeed, they can be decomposed into sums of standard exotic options. To price them under a term structure of interest rates, we ground ourselves ... on the method elaborated by Collin-Dufresne and Goldstein [2001]; we display the interest and adequacy of this method by comparing our results with those obtained by means of Monte-Carlo simulations.

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