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1 juillet 2005
- handle: 10670/1.9yyjpk
- hal: hal-02312481
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Contract law Contracts--Law and legislation Contractual limitations Limitations, Contractual AgreementsCiter ce document
Carole Bernard et al., « Évaluation en Fair Value de Contrats Participatifs », HAL-SHS : économie et finance, ID : 10670/1.9yyjpk
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Résumé
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.