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外文摘要
引文資料
題名:
跳躍風險相關之匯率選擇權:傅立葉轉換評價法
書刊名:
中國統計學報
作者:
莊明哲
/
温晉祥
/
林士貴
作者(外文):
Chuang, Ming-che
/
Wen, Chin-hsiang
/
Lin, Shih-kuei
出版日期:
2019
卷期:
57:4
頁次:
頁308-341
主題關鍵詞:
外匯選擇權
;
相關跳躍風險
;
匯率
;
傅立葉轉換
;
利率
;
Jarrow and Yildirim model
;
Currency option
;
Correlated jump risks
;
Exchange rate
;
Generalized Fourier transform
;
Interest rate
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:4
本研究調查近年來美國、日本、歐盟、英國的利率與匯率的走勢,發現利率與匯率同時發生跳躍情況非常頻繁,因此建立一個考慮布朗運動相關以及跳躍相關的模型來捕捉此特性,稱作CB-CJ(Jarrow and Yildirim model with correlated jump risks)模型。實證結果發現CB-CJ比起GBM(Geometric Brownian model)、CB(Jarrow and Yildirim model)、CB-IJ(Jarrow and Yildirim model with independent jump risks)可以更加捕捉利率及匯率的特性。根據此模型找出平賭條件後,我們利用傳立葉轉換評價法推導出CB-CJ下的匯率選擇權評價公式。本研究加入蒙地卡羅法來驗證傅立葉轉換法所計算出來之評價結果以及計算時間,發現傅立葉評價法計算結果與蒙地卡羅法相當接近,而且計算速度遠快於蒙地卡羅法。另外實證發現,CB-CJ改善了樣本內及樣本外定價誤差,使匯率選擇權評價更爲精確。此結果支持我們認爲的利率、匯率跳躍存在相關性之假設。
以文找文
In this paper, we investigate dynamic behaviors and jump risks of interest rates and exchange rates for United States (US), Japan (JPN), European Union (EU), and United Kingdom (UK) over the recent decade. Given the characteristics of correlated jump risks in interest rates and exchange rates, we construct a new model called Jarrow and Yildirim model with correlated jump risks (CB-CJ) to capture the movements. The empirical results in exchange rate and interest rate data with the log-likelihood value show that CB-CJ can capture the interest rates and the exchange rates better than Geometric Brownian model (GBM), Jarrow and Yildirim model (CB), and Jarrow and Yildirim model with independent jump risks (CB-IJ). After finding the martingale condition, we derive the pricing formula for currency options under CB-CJ with the generalized Fourier transform. This study adds the Monte Carlo method to verify the evaluation results and compare calculating time. We found that the Fourier evaluation method is very close to the Monte Carlo method, and the calculation speed is much faster than the Monte Carlo method. In addition, the empirical performance of the option data finds that CB-CJ improves the in-sample and out-of-sample pricing error performances in most cases. Therefore, we conclude that correlated jump risks between interest rates and exchange rates play important roles for currency options.
以文找文
期刊論文
1.
Garman, M. B.、Kohlhagen, S. W.(1983)。Foreign Currency Option Values。Journal of International Money and Finance,2(3),231-237。
2.
Gerber, H. U.、Shiu, E. S. W.(1994)。Option pricing by Esscher transforms。Transactions of the Society of Actuaries,46,99-191。
3.
Feiger, G.、Jacquillat, B.(1979)。Currency Option Bonds, Puts and Calls on Spot Exchange and the Hedging of Contingent Foreign Earnings。Journal of Finance,34,1129-1139。
4.
Grabbe, J. O.(1983)。The Pricing of Call and Put Options on Foreign Exchange。Journal of International Money and Finance,2(3),239-253。
5.
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。
6.
Hull, J.、White, A.(1990)。Pricing Interest Rate Derivative Securities。The Review of Financial Studies,3(4),573-592。
7.
Bo, Lijun、Wang, Y.、Yang, X.(2010)。Markov-modulated jump-diffusions for currency option pricing。Insurance: Mathematics and Economics,46,461-469。
8.
Jorion, Philippe(1988)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。
9.
Bates, David S.(1996)。Dollar jump fears, 1984-1992: Distributional abnormalities implicit in currency futures options。Journal of International Money and Finance,15(1),65-93。
10.
Bates, David S.(1991)。The Crash of '87: Was It Expected? The Evidence from Options Markets。Journal of Finance,46(3),1009-1044。
11.
Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。
12.
Jarrow, R.、Yildirim, Y.(2003)。Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model。Journal of Financial and Quantitative Analysis,38(2),337-359。
13.
Bates, D.(1996)。Jumps and stochastic volatility: Exchange rate process implicit in Deutsche Mark options。Review of Financial Studies,9,69-107。
14.
Chan, W. H.(2004)。Conditional correlated jump dynamics in foreign exchange。Economics Letters,83,23-28。
15.
Chang, M. A.、Cho, D. C.、Park, L.(2007)。The pricing of foreign currency options under jump-diffusion processes。The Journal of Futures Markets,27(7),669-695。
16.
Doffou, A.、Hilliard, J. E.(2001)。Pricing currency options under stochastic interest rates and jump-diffusion processes。The Journal of Financial Research,24(4),565-585。
17.
Guo, J. H.、Hung, M. W.(2007)。Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates。The Journal of Futures Markets,27(9),867-891。
18.
Heston, Steven L.、Nandi, Saikat(2000)。A Closed-Form GARCH Option Valuation Model。The Review of Financial Studies,13(3),585-625。
19.
Li, X. P.、Feng, Y.、Wu, C. F.、Xu, W. D.(2013)。Response of the term structure of forward exchange rate to jump in the interest rate。Economic Modelling,30,863-874。
20.
Lin, C. H.、Lin, S. K.、Wu, A. C.(2015)。Foreign exchange option pricing in the currency cycle with jump risks。Review of Quantitative Finance and Accounting,44,755-789。
21.
Ornthanalai, G.(2014)。Lévy jump risk: Evidence from options and returns。Journal of Financial Economics,112,69-90。
22.
Carr, P.、Wu, L.(2007)。Stochastic Skew in Currency Options。Journal of Financial Economics,86,213-247。
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