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Value |
| 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 |
| DCField |
Value |
Language |
| dc.contributor (Contributor) | 金融系 | en_US |
| dc.creator (Authors) | 江彌修 | zh_TW |
| dc.creator (Authors) | Chiang, Mi-Hsiu ; Li, Chang-Yi ; Chen, Son-Nan | en_US |
| dc.date (Date) | 2014.09 | en_US |
| dc.date.accessioned | 2014-10-22 12:29:53 (UTC+8) | - |
| dc.date.available | 2014-10-22 12:29:53 (UTC+8) | - |
| dc.date.issued (Issue Date) | 2014-10-22 12:29:53 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/70698 | - |
| dc.description.abstract (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. | en_US |
| dc.format.extent | 391525 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (Relation) | Review of Quantitative Finance and Accounting, published online: 10 Sep 2014 | en_US |
| dc.subject (Keywords) | Currency options;Heath–Jarrow–Morton model;Double exponential jump diffusion;Esscher transform;Markov chainC02;G13;G15 | en_US |
| dc.title (Title) | Pricing Currency Options under Double Exponential Jump Diffusion in a Markov-Modulated HJM Economy | en_US |
| dc.type (Data Type) | article | en |
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