English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 95906/126496 (76%)
Visitors : 31668889      Online Users : 435
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 140.119/65947
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/65947


    Title: Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model
    Authors: 江彌修
    Chen, Son-Nan;Chiang, Mi-Hsiu;Hsu, Pao-Peng;Li, Chang-Yi
    Contributors: 金融系
    Keywords: HJM;Markov chain;Esscher transform;Quanto options
    Date: 2013.10
    Issue Date: 2014-05-12 15:32:35 (UTC+8)
    Abstract: We consider the valuation of European quanto call options in an incomplete market where the domestic and foreign forward interest rates are allowed to exhibit regime shifts under the Heath–Jarrow–Morton (HJM) framework, and the foreign price dynamics is exogenously driven by a regime switching jump-diffusion model with Markov-modulated Poisson processes. We derive closed-form solutions for four different types of quanto call options, which include: options struck in a foreign currency, a foreign equity call struck in domestic currency, a foreign equity call option with a guaranteed exchange rate, and an equity-linked foreign exchange-rate call.
    Relation: Financial Research Letters,Available online 17 October 2013
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.frl.2013.09.002
    DOI: 10.1016/j.frl.2013.09.002
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    112.pdf527KbAdobe PDF1089View/Open


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


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback