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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/128565
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/128565


    Title: 考慮違約風險與隨機利率模型下匯率連結外幣資產選擇權定價
    Authors: 吳宥璇
    Wu, Yu-Hsuan
    Contributors: 林士貴
    Lin, Shih-Kuei
    吳宥璇
    Wu, Yu-Hsuan
    Keywords: 信用風險
    衍生性商品定價
    匯率連結外幣資產選擇權
    HJM利率模型
    Credit risk
    Derivatives pricing model
    Foreign currency derivatives
    HJM interest rate Model
    Date: 2020
    Issue Date: 2020-02-05 17:31:04 (UTC+8)
    Abstract: 匯率衍生性金融商品皆屬於店頭市場 (over-the-counter, OTC) 交易,且匯率波動與本國及外國之利率有一定的關係,在評價匯率衍生性金融商品時,若忽略交易對手違約風險與利率波動及匯率之相關性,將有失其適用性。因此本文考量違約風險與隨機利率模型兩個因子來評價匯率選擇權,本研究在信用風險因子的模型設定中,進一步加入HJM (Heath, Jarrow and Morton, 1992) 遠期利率模型架構,進而求得隨機利率下考慮違約風險之匯率連動選擇權評價模型。本文將此評價模型應用於最常見的四種匯率連結外幣資產選擇權為範例,探討其在隨機利率與信用風險下合理的價格,以提供投資人來因應匯率風險管理的避險需求。並採用市場歷史資料來估計各個參數,計算四種不同匯率連結外幣資產選擇權價格,針對違約風險、到期日長短、標的資產波動度做敏感度分析,採用數值結果來了解信用風險對於衍生性商品價格的影響。
    Most of foreign currency derivatives belong to the over-the-counter (OTC). Moreover, the volatility of exchange rate is greatly affected by the dynamics of both domestic and foreign interest rates. Therefore, if the foreign currency derivatives are priced without the consideration of the counterparty default risk and interest rate, their pricing may cause some pricing error. To solve this problem, this paper presents a pricing formula for foreign currency options with the consideration of the credit risk under the HJM interest rate model. This paper applies this pricing model to the four most common exchange rate-linked options on foreign assets to build its reasonable price with the consideration of the credit risk and interest rate risk. To provide investors manage currency risk. This paper use historical market data to estimate each parameter and calculate the price of four different exchange rate-linked options on foreign assets. Using numerical results to understand the impact of default risk, maturity, and the volatility of underlying asset on the prices of derivative commodity.
    Reference: [1]Amin K., and Jarrow R.A. (1991), “Pricing Foreign Currency Options under Stochastic Interest Rate, ” Journal of International Money and Finance, Vol.10,310-329.
    [2]Black, F., M., Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political & Economy, Vol.81,637-659.
    [3]Bodurtha, J., and Courtadon, G., 1987, “Tests of an American Option Pricing Model on the Foreign Currency Options Market,” Journal of Financial and Quantitative Analysis, Vol.22,153-167.
    [4]Grabbe, J. O., 1983, “The Pricing of Call and Put Option on Foreign Exchange,” Journal of International Money and FinanceVol.2, 239-253.
    [5]Heath, D. C., Jarrow, R.A., Morton, A. J., 1992, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation,” Econometrica, Vol.60(1), 77-105.
    [6]Hilliard, J.E., J. Madura and A.L. Tucker, 1991, “Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates,” Journal of Financial and Quantitative Analysis, Vol.26(2),139-151.
    [7]Hull, J. C., A., White, 1995, “The Impact of Default Risk on the Prices of Options and Other Derivative Securities,” Journal of Banking & Finance, Vol.19, 299-322.
    [8]Johnson, H., R., Stulz, 1987, “The Pricing of Options with Default Risk,” Journal of Finance, Vol.42, 267-280.
    [9]Jarrow, R. A., S. M., Turnbull, 1995, “Pricing Derivatives on Financial Securities Subject to Credit Risk,” Journal of Finance, Vol.50, 53-85.
    [10]Jarrow, R. A., and Turnbull, S. M. 2000, “The Intersection of Market and Credit Risk,” Journal of Banking & Finance, Vol.24, 271-299.
    [11]Jarrow, R. A., and Yu, F. 2001, “Counterparty Risk and the Pricing of Defaultable Securities,” Journal of Finance, Vol.56, 1765-1799.
    [12]Klein, P. C., 1996, “Pricing Black-Scholes Options with Correlated Credit Risk,” Journal of Banking and Finance, Vol. 20, 1211-1229.
    [13]Klein, P.C., Inglis, M., 2001 ,“Pricing Vulnerable European Options when the Option's Payoff can Increase the Risk of Financial Distress,” Journal of Banking and Finance, Vol. 25, 993-1012.
    [14]Li, G., and Zhang, C., 2019, “Counterparty Credit Risk and Derivatives Pricing,” Journal of Financial Economics, Vol.134, 647-668.
    [15]Pan, G. G., and Wu, T. C. , 2008, “Pricing Vulnerable Options,” Journal of Financial Studies, Vol.16, 131-158.
    [16]Reiner, E., 1992, “Quanto Mechanics,” From Black-Scholes to Black Holes, Risk Magazine, Vol.5, 147-151.
    [17]Rabinovitch, R., 1989, “Pricing Stock and Bond Option when Default-Rate is Stochastic,” Journal of Financial and Quantitative Analysis, Vol.24, 447-457.
    [18]Shreve, S. E., 2004. “Stochastic Calculus for Finance II: Continuous-Time Models,” Springer-Verlag, New York.
    [19]Tian, L.H., Wang, G.Y., Wang, X.C. and Wang, Y.J., 2014, “Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes. ” The Journal of Futures Markets, Vol. 34, 957-979.
    Description: 博士
    國立政治大學
    金融學系
    100352504
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100352504
    Data Type: thesis
    DOI: 10.6814/NCCU202000075
    Appears in Collections:[金融學系] 學位論文

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