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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/70698
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/70698

    Title: Pricing Currency Options under Double Exponential Jump Diffusion in a Markov-Modulated HJM Economy
    Authors: 江彌修
    Chiang, Mi-Hsiu;Li, Chang-Yi;Chen, Son-Nan
    Contributors: 金融系
    Keywords: Currency options;Heath–Jarrow–Morton model;Double exponential jump diffusion;Esscher transform;Markov chainC02;G13;G15
    Date: 2014.09
    Issue Date: 2014-10-22 12:29:53 (UTC+8)
    Abstract: Extending the framework of Amin and Jarrow (J Int Money Financ 10:310–329, 1991) and Bo et al. (Insur Math Econ 46:461–469, 2010), this study provides a theoretical exploration of currency options pricing under the presence of interest-rate regime shifts and exchange-rate asymmetric jumps. Evidence of interest-rate regime shifts inferred from UK and US zero coupon bond yields provides support for the regime-switching specifications which we reflect upon the domestic and foreign forward rates. Results of statistical tests conducted on JPY/USD and EUR/USD FX rates provide further support the rationale behind using a double exponential jump diffusion process within a Markov modulated Heath–Jarrow–Morton economy. Our numerical results suggest that, the pricing performance of our model is closely comparable to the Bo-Wang-Yang model for at-the-money options, yet yields improvements in percentage root mean errors for in-the-money options.
    Relation: Review of Quantitative Finance and Accounting, published online: 10 Sep 2014
    Data Type: article
    Appears in Collections:[金融學系] 期刊論文

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