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https://ah.lib.nccu.edu.tw/handle/140.119/65649
題名: | Valuation Of Quanto Interest Rate Derivatives In a Cross-Currency LIBOR Market Model | 作者: | Chou, Chi-Hsun ; Chen, Son-Nan | 貢獻者: | 金融學系 | 關鍵詞: | Cross-currency LIBOR market model;exotic quanto swap;quanto cap;quanto floor;quanto swap | 日期: | Apr-2010 | 上傳時間: | 29-Apr-2014 | 摘要: | 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. | 關聯: | 中國統計學報,48(1),1-30 | 資料類型: | article |
Appears in Collections: | 期刊論文 |
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