Valuation of Quanto Floating Range Notes under the Cross-Currency LIBOR Market Model

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/106936

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/106936

题名:	Valuation of Quanto Floating Range Notes under the Cross-Currency LIBOR Market Model
作者:	Chi-Hsun Chou;Tsung-Yu Hsieh;Son-Nan Chen
关键词:	cross-currency LIBOR market model;delayed digital range options;delayed asset-or-nothing range options;quanto floating range notes
日期:	2015-10-30
上传时间:	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
显示于类别:	[財務金融學系暨研究所] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	203	检视/开启
Valuation of Quanto Floating Range Notes under the Cross-Currency LIBOR Market Model.pdf		511Kb	Adobe PDF	2	检视/开启

在機構典藏中所有的数据项都受到原著作权保护.

TAIR相关文章