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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/99435


    Title: Quanto Interest-Rate Exchange Options in a Cross-Currency LIBOR Market Model
    Authors: Tsung-Yu Hsieh;Chi-Hsun Chou;Son-Nan Chen
    Contributors: 淡江大學財務金融學系
    Keywords: Quanto;Interest-rate;Exchange options;Exchange rate;Cross-currency;LIBOR market model
    Date: 2015
    Issue Date: 2014-10-31 13:22:24 (UTC+8)
    Publisher: Asian Economic and Social Society
    Abstract: The purpose of this paper is to price quanto interest-rate exchange options (QIREOs) based on a
    practical and easy-to-use interest-rate model. According to the payoff structure of QIREOs, the
    cross-currency LIBOR market model (CLMM), in which the initial LIBOR market model (LMM) is
    extended from a single-currency economy to a cross-currency economy, is suitable to be adopted to
    price four different types of quanto interest-rate exchange options in this article. Our pricing
    formulae represent the general formulae in the framework of the CLMM. Hedging strategies are
    also provided for practical implementation.
    Relation: Asian Economic and Financial Review 5(5), p.816-830
    DOI: 10.18488/journal.aefr/2015.5.5/102.5.816.830
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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