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:Valuation of Quanto Floating Range Notes under the Cross-Currency LIBOR Market Model
學年104
學期1
出版(發表)日期2015/11/25
作品名稱Valuation of Quanto Floating Range Notes under the Cross-Currency LIBOR Market Model
作品名稱(其他語言)
著者Chi-Hsun Chou; Tsung-Yu Hsieh; Son-Nan Chen
單位
出版者
著錄名稱、卷期、頁數International Journal of Economics and Finance 7(12), p.70-83
摘要In this paper, we propose analytical valuation formulae for three types of quanto floating range notes based on the cross-currency LIBOR market model. The dynamics of forward LIBOR rates is a multifactor model that incorporates both the domestic and foreign interest rate process and the exchange rate process in a cross-currency environment. The derived formulae are analytically tractable and easy to implement in practice. The model parameters can be extracted directly from market quantities. We show that the empirical results are more accurate and robust than the results ofMonte Carlosimulation.
關鍵字cross-currency LIBOR market model;delayed digital range options;delayed asset-or-nothing range options;quanto floating range notes
語言英文
ISSN1916-971X;1916-9728
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別加拿大
公開徵稿
出版型式,電子版,紙本
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