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引文資料
題名:
Valuation of Quanto Interest Rate Exchange Options
書刊名:
財務金融學刊
作者:
吳庭斌
/
傅瑞彬
/
陳松男
作者(外文):
Wu, Ting-pin
/
Fu, Jui-pin
/
Chen, Son-nan
出版日期:
2009
卷期:
17:4
頁次:
頁57-91
主題關鍵詞:
匯率連動利率選擇權
;
交換選擇權
;
LIBOR市場模型
;
Quanto interest rate options
;
Exchange options
;
LIBOR market model
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
2
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
2
共同引用:0
點閱:109
This paper employs the cross-currency LIBOR market model to price five types of quanto interest rate exchange options, namely, domestic swap rate vs. foreign Swap rate, domestic swap rate vs. foreign LIBOR rate, domestic LIBOR rate vs. foreign swap rate, foreign swap rate vs. foreign swap rate and foreign swap rate vs. foreign LIBOR rate. A new approach to approximate the distribution of a (foreign) forward swap rate under the cross-currency LIBOR market model is presented and employed to price quanto interest rate derivatives involved with constant-maturity swap rates. As compared with Monte Carlo simulation, the numerical examples show that the resulting pricing formulas are sufficiently and robustly accurate.
以文找文
期刊論文
1.
Miltersen, Kristian R.、Sandmann, Klaus、Sondermann, Dieter(1997)。Closed Form Solutions for Term Structure Derivatives with Log-normal Interest Rates。The Journal of Finance,52(1),409-430。
2.
Driessen, J.、Klaassen, P.、Melenberg, B.(2003)。The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions。Journal of Financial and Quantitative Analysis,38(3),635-672。
3.
Amin, K. I.、Jarrow, R. A.(1991)。Pricing Foreign Currency Options under Stochastic Interest rates。Journal of International Money and Finance,10(3),310-329。
4.
Brace, Alan、Gatarek, Dariusz、Musiela, Marek(1997)。The Market Model of Interest Rate Dynamics。Mathematical Finance,7(2),127-155。
5.
Rebonato, R.(1999)。On the Simultaneous Calibration of Multifactor Lognormal Interest Rate Models to Black Volatilities and to the Correlation Matrix。The Journal of Computational Finance,2(4),5-27。
6.
Wu, T. P.、Chen, S. N.(2007)。Cross-currency Equity Swaps with the BGM Model。Journal of Derivatives,15(2),60-76。
7.
Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica,53(2),385-408。
8.
Levy, Edmond(1992)。Pricing European Average Rate Currency Options。Journal of International Money and Finance,11(5),474-491。
9.
Margrabe, William(1978)。The Value of an Option to Exchange One Asset for Another。The Journal of Finance,33(1),177-186。
10.
Fu, Q.。On the Valuation of an Option to Exchange One Interest Rate for Another。Journal of Banking and Finance,20,645-653。
11.
Heath, D.、Jarrow, R.、Morton, A.。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claim Valuations。Econometrica,60,77-105。
12.
Jamshidian, F.。LIBOR and Swap Market Models and Measures。Finance and Stochastics,1,293-330。
13.
Longstaff, F. A.。The Valuation of Options on Yields。Journal of Financial Economics,26,97-121。
14.
Madigan, P.。Vanilla's the Flavour。Risk,21(3),61-63。
15.
Miyazaki, K.、Yoshida, T.。Valuation Model of Yield-spread Options in the HJM Framework。The Journal of Financial Engineering,7,89-107。
16.
Musiela, M.、Rutkowski, M.。Continuous-time Term Structure Model: Forward Measure Approach。Finance and Stochastics,4,261-292。
17.
Rogers, C.。Gaussian Errors。Risk,9(1),42-45。
18.
Schlögl, E.。A Multicurrency Extension of the Lognormal Interest Rate Market Models。Finance and Stochastics,6,173-196。
19.
Vorst, T.。Prices and Hedge Ratios of Average Exchange Rate Options。International Review of Financial Analysis,1,179-193。
20.
Wu, T. P.、Chen, S. N.。Valuation of Interest Rate Spread Options in a Multifacotr LIBOR Market Model。The Journal of Derivatives,17,38-52。
會議論文
1.
Brace, A.、Dun, T. A.、Barton, G.。Towards a Central Interest Rate Model。
2.
Brace, A.、Womersley, R. S.。Exact Fit to the Swaption Volatility Matrix Using Semidefinite Programming。
圖書
1.
Brigo, D.、Mercurio, F.。Interest Rate Models: Theory and Practice。Interest Rate Models: Theory and Practice。Heidelberg, German。
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