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    題名: Valuation of Quanto Floating Range Notes under the Cross-Currency LIBOR Market Model
    作者: Chi-Hsun Chou;Tsung-Yu Hsieh;Son-Nan Chen
    關鍵詞: cross-currency LIBOR market model;delayed digital range options;delayed asset-or-nothing range options;quanto floating range notes
    日期: 2015-10-30
    上傳時間: 2016-08-15
    出版者: Canadian Center of Science and Education
    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.
    關聯: International Journal of Economics and Finance 7(12), p.70-83
    DOI: 10.5539/ijef.v7n12p70
    顯示於類別:[財務金融學系暨研究所] 期刊論文


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