Analyzing Target Redemption Forward Contracts under Levy Process | Publication

Title	Analyzing Target Redemption Forward Contracts under Levy Process
Creator	Yang, Jerry T. 廖四郎 Liao, Szu-Lang Chen, Jun-Home
Contributor	金融系
Date	2017
Date Issued	30-Jul-2018 17:47:11 (UTC+8)
Summary	The depreciation of the renminbi (RMB) in the last few years had caused many default events on the leveraged structural products called “Target Redemption Forward” (TRF). Analyzing the components of the TRF, we can find these products are composed of buying and selling exchange options. From the empirical analyses of the returns of the exchange rate of USD/CNY, there exist non-normal, leptokurtic and volatility clustering phenomena. Hence, we use the time-changed NIG-Lévy process to construct the dynamics of the exchange rate. Finally, we apply the Monte Carlo simulation technique to price the TRF and analyze the impacts of the clauses in the term sheet of TRF.
Relation	International Research Journal of Finance and Economics, Vol.165, pp.68-78
Type	article

dc.contributor	金融系	-
dc.creator (作者)	Yang, Jerry T.	en_US
dc.creator (作者)	廖四郎	zh_TW
dc.creator (作者)	Liao, Szu-Lang	en_US
dc.creator (作者)	Chen, Jun-Home	zh_TW
dc.date (日期)	2017	-
dc.date.accessioned	30-Jul-2018 17:47:11 (UTC+8)	-
dc.date.available	30-Jul-2018 17:47:11 (UTC+8)	-
dc.date.issued (上傳時間)	30-Jul-2018 17:47:11 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/119069	-
dc.description.abstract (摘要)	The depreciation of the renminbi (RMB) in the last few years had caused many default events on the leveraged structural products called “Target Redemption Forward” (TRF). Analyzing the components of the TRF, we can find these products are composed of buying and selling exchange options. From the empirical analyses of the returns of the exchange rate of USD/CNY, there exist non-normal, leptokurtic and volatility clustering phenomena. Hence, we use the time-changed NIG-Lévy process to construct the dynamics of the exchange rate. Finally, we apply the Monte Carlo simulation technique to price the TRF and analyze the impacts of the clauses in the term sheet of TRF.	-
dc.format.extent	160951 bytes	-
dc.format.mimetype	application/pdf	-
dc.relation (關聯)	International Research Journal of Finance and Economics, Vol.165, pp.68-78	-
dc.title (題名)	Analyzing Target Redemption Forward Contracts under Levy Process	en_US
dc.type (資料類型)	article	-