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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/65649
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/65649


    Title: Valuation Of Quanto Interest Rate Derivatives In a Cross-Currency LIBOR Market Model
    Authors: Chou, Chi-Hsun;Chen, Son-Nan
    Contributors: 金融學系
    Keywords: Cross-currency LIBOR market model;exotic quanto swap;quanto cap;quanto floor;quanto swap
    Date: 2010-04
    Issue Date: 2014-04-29 09:13:45 (UTC+8)
    Abstract: This article is to provide the analytical valuation formulae of quanto interest rate derivatives based on a cross-currency LIBOR market model. The dynamics of forward LIBOR rates is a multi-factor model which incorporates the domestic and foreign interest rates and the exchange rate processes in a cross-currency environment. Under the framework, the pricing formulae of quanto interest rate derivatives are easy to implement in practice and model parameters can be acquired easily from the market quantities. The empirical results are shown to be sufficiently accurate and robust as compared to Monte Carlo simulation.
    Relation: 中國統計學報,48(1),1-30
    Data Type: article
    Appears in Collections:[金融學系] 期刊論文

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