English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91913/122132 (75%)
Visitors : 25838362      Online Users : 215
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/64847
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/64847

    Title: Princing and Hedging of Quanto Range Accrual Notes under Guassian HJM with Cross-Currency Levy Processes
    Authors: 廖四郎;徐保鵬
    Liao, Szu-Lang;Hsu, Pao-Peng
    Contributors: 金融系
    Date: 2009-10
    Issue Date: 2014-03-24 14:00:25 (UTC+8)
    Abstract: This study analyzes the pricing and hedging problems for quanto range accrual notes (RANs) under the Heath-Jarrow-Morton (HJM) framework with Levy processes for instantaneous domestic and foreign forward interest rates. We consider the effects of jump risk on both interest rates and exchange rates in the pricing of the notes. We first derive the pricing formula for quanto double interest rate digital options and quanto contingent payoff options; then we apply the method proposed by Turnbull (Journal of Derivatives, 1995, 3, 92–101) to replicate the quanto RAN by a combination of the quanto double interest rate digital options and the quanto contingent payoff options. Using the pricing formulas derived in this study, we obtain the hedging position for each issue of quanto RANs. In addition, by simulation and assuming the jump risk to follow a compound Poisson process, we further analyze the effects of jump risk and exchange rate risk on the coupons receivable in holding a RAN.
    Relation: Journal of Futures Markets, 29(10), 973-998
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1002/fut.20396
    DOI: 10.1002/fut.20396
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    973998.pdf189KbAdobe PDF973View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback