教師資料查詢 | 類別: 期刊論文 | 教師: 謝宗佑 TSUNG-YU HSIEH (瀏覽個人網頁)

標題:Quanto Interest-Rate Exchange Options in a Cross-Currency LIBOR Market Model
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
語言英文
ISSN2222-6737;2305-2147
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別巴基斯坦
公開徵稿
出版型式,電子版,紙本
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!