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 en
ISSN 1916-971X;1916-9728
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度 是
國別 CAN
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/987654321/106936 )