Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/82757
DC Field | Value | Language |
---|---|---|
dc.contributor | 金融系 | |
dc.creator | 廖四郎 | zh_TW |
dc.creator | Liao, Szu-Lang;Lian, Yu-Min | |
dc.date | 2013-09 | |
dc.date.accessioned | 2016-03-21T07:46:41Z | - |
dc.date.available | 2016-03-21T07:46:41Z | - |
dc.date.issued | 2016-03-21T07:46:41Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/82757 | - |
dc.description.abstract | In this paper, we study the valuation of European currency options when the dynamics of the spot foreign exchange rate are driven by geometric Brownian motions with Markov-modulated Poisson processes. Under such dynamics, the jump events are described as a compound Poisson process with log-normal jump size, and the regime-switching arrival intensity is governed by a continuous-time finite-state Markov chain. Since the market is incomplete, we present a framework for option valuation using the technique of Esscher transforms. After determining the Esscher parameters, we derive the analytical pricing formulas of European currency options under Markov-modulated jump risks. | |
dc.format.extent | 155 bytes | - |
dc.format.extent | 348 bytes | - |
dc.format.mimetype | text/html | - |
dc.format.mimetype | text/html | - |
dc.relation | International Research Journal of Finance and Economics, No.114, 93-101 | |
dc.title | The Valuation of Currency Options with Markov-Modulated Jump Risks | |
dc.type | article | |
item.fulltext | With Fulltext | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
item.grantfulltext | open | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
Appears in Collections: | 期刊論文 |
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