Évaluation en Fair Value de Contrats Participatifs

Carole Bernard, Olivier Le Courtois and François Quittard-Pinon
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Carole Bernard: UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Olivier Le Courtois: EM - EMLyon Business School
François Quittard-Pinon: UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

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Abstract: 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.

Date: 2005-07-01
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Published in Finance, 2005, 26 (1), 73-107 p

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02312481

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