| dc.contributor | 金融系 | |
| dc.creator (作者) | 廖四郎 | zh_TW |
| dc.creator (作者) | Lian, Yu-Min;Chen, Jun-Home;Liao, Szu-Lang | |
| dc.date (日期) | 2015-12 | |
| dc.date.accessioned | 30-Jun-2016 14:53:40 (UTC+8) | - |
| dc.date.available | 30-Jun-2016 14:53:40 (UTC+8) | - |
| dc.date.issued (上傳時間) | 30-Jun-2016 14:53:40 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/98519 | - |
| dc.description.abstract (摘要) | In this study, we investigate the currency option pricing in a Markov-modulated, incomplete-market economy. Specifically, the dynamics of the spot foreign exchange rate and the domestic/foreign instantaneous forward interest rates are, respectively, governed by a two-factor Markov-modulated stochastic volatility model with jumps and a Markov-modulated Heath–Jarrow–Morton model. The analytical expressions are obtainable using the random Esscher transform. Numerical examples are also given. | |
| dc.format.extent | 507023 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Finance Research Letters, Vol.16, pp.208-219 | |
| dc.subject (關鍵詞) | Currency option; Two-factor Markov-modulated stochastic volatility model with jumps; Markov-modulated Heath–Jarrow–Morton model; Esscher transform | |
| dc.title (題名) | Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1016/j.frl.2015.12.005 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.frl.2015.12.005 | |
