English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 94559/125088 (76%)
Visitors : 29798058      Online Users : 658
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 140.119/98519
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/98519

    Title: Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy
    Authors: 廖四郎
    Lian, Yu-Min;Chen, Jun-Home;Liao, Szu-Lang
    Contributors: 金融系
    Keywords: Currency option;Two-factor Markov-modulated stochastic volatility model with jumps;Markov-modulated Heath–Jarrow–Morton model;Esscher transform
    Date: 2015-12
    Issue Date: 2016-06-30 14:53:40 (UTC+8)
    Abstract: In this study, we investigate the currency option pricing in a Markov-modulated, incomplete-market economy. Specifically, the dynamics of the spot foreign exchange rate and the domestic/foreign instantaneous forward interest rates are, respectively, governed by a two-factor Markov-modulated stochastic volatility model with jumps and a Markov-modulated Heath–Jarrow–Morton model. The analytical expressions are obtainable using the random Esscher transform. Numerical examples are also given.
    Relation: Finance Research Letters, Vol.16, pp.208-219
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.frl.2015.12.005
    DOI: 10.1016/j.frl.2015.12.005
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    1-s2.0-S1544612315001373-main.pdf495KbAdobe PDF330View/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