政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/64847

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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: https://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

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