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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/119069
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/119069


    Title: Analyzing Target Redemption Forward Contracts under Levy Process
    Authors: Yang, Jerry T.
    廖四郎
    Liao, Szu-Lang
    Chen, Jun-Home
    Contributors: 金融系
    Date: 2017
    Issue Date: 2018-07-30 17:47:11 (UTC+8)
    Abstract: The depreciation of the renminbi (RMB) in the last few years had caused many default events on the leveraged structural products called “Target Redemption Forward” (TRF). Analyzing the components of the TRF, we can find these products are composed of buying and selling exchange options. From the empirical analyses of the returns of the exchange rate of USD/CNY, there exist non-normal, leptokurtic and volatility clustering phenomena. Hence, we use the time-changed NIG-Lévy process to construct the dynamics of the exchange rate. Finally, we apply the Monte Carlo simulation technique to price the TRF and analyze the impacts of the clauses in the term sheet of TRF.
    Relation: International Research Journal of Finance and Economics, Vol.165, pp.68-78
    Data Type: article
    Appears in Collections:[金融學系] 期刊論文

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