期刊論文
| 學年 | 103 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2015-01-01 |
| 作品名稱 | Quanto Interest-Rate Exchange Options in a Cross-Currency LIBOR Market Model |
| 作品名稱（其他語言） | |
| 著者 | Tsung-Yu Hsieh; Chi-Hsun Chou; Son-Nan Chen |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Karachi: Asian Economic and Social Society |
| 著錄名稱、卷期、頁數 | Asian Economic and Financial Review 5(5), p.816-830 |
| 摘要 | The purpose of this paper is to price quanto interest-rate exchange options (QIREOs) based on a practical and easy-to-use interest-rate model. According to the payoff structure of QIREOs, the cross-currency LIBOR market model (CLMM), in which the initial LIBOR market model (LMM) is extended from a single-currency economy to a cross-currency economy, is suitable to be adopted to price four different types of quanto interest-rate exchange options in this article. Our pricing formulae represent the general formulae in the framework of the CLMM. Hedging strategies are also provided for practical implementation. |
| 關鍵字 | Quanto;Interest-rate;Exchange options;Exchange rate;Cross-currency;LIBOR market model |
| 語言 | en |
| ISSN | 2222-6737;2305-2147 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | PAK |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/99435 ) |