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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/106936

    Title: Valuation of Quanto Floating Range Notes under the Cross-Currency LIBOR Market Model
    Authors: Chi-Hsun Chou;Tsung-Yu Hsieh;Son-Nan Chen
    Keywords: cross-currency LIBOR market model;delayed digital range options;delayed asset-or-nothing range options;quanto floating range notes
    Date: 2015-10-30
    Issue Date: 2016-08-15
    Publisher: Canadian Center of Science and Education
    Abstract: 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.
    Relation: International Journal of Economics and Finance 7(12), p.70-83
    DOI: 10.5539/ijef.v7n12p70
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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