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題名 匯率連動利率選擇權之評價---跨國 LIBOR市場模型
其他題名 Valuation of Quanto Interest-Rate Options in a Cross-Currency Libor Market Model
作者 陳松男
貢獻者 國立政治大學金融系
行政院國家科學委員會
關鍵詞 匯率連動利率選擇權;LIBOR 市場模型
Quanto; Interest rate option; LIBOR Market Model表
日期 2008
上傳時間 25-Jun-2012 15:16:43 (UTC+8)
摘要 匯率連動利率選擇權（Quanto Interest-Rate Options；QIROs），亦可稱為跨通貨利率選擇權（Cross-Currency Interest-Rate Options），可作為企業與投資者管理跨國間利率風險的商品，本研究將對QIROs 進行評價與分析。本文欲使用 BGM (1997) 提出的LIBOR Market Model (LMM)進行研究評價，因QIROs 具有匯率連動效果( Quanto effect )，在評價時須將此效果納入考量。跨通貨LIBOR 市場模型(the Cross-Currency LMM) 由單一國家經濟環境延伸至兩國經濟環境，在此模型中兩國的LIBOR 與匯率的動態過程適用於推導QIROs 的評價公式。文中將以平賭過程評價方法，對 QIROs 進行評價推導理論封閉解 (Closed-Form Solution)，並作避險策略與實務應用的探討，除可供學術研究之參考，亦可供發行金融機構與投資人於實務運用之參考。為能供實務運用，並將探討如何進行參數校準(Calibration)；文中亦將進行蒙地卡羅模擬（Monte Carlo Simulation）以分析模型理論解的準確性。
The purpose of this paper is to price quanto interest-rate options (QIROs). To achieve it, a new model, namely, the cross-currency LIBOR market model, which extends the initial LIBOR market model from a single-currency economy to a cross-currency economy is adopted. The cross-currency LIBOR market model is suitable and applicable to pricing a variety of quanto-type interest rate derivatives. Five types of quanto interest-rate options are priced in this article. Hedging strategies and calibration procedures are also discussed in details. In addition, Monte-Carlo simulation is provided to evaluate the accuracy of the theoretical prices.
關聯 應用研究
學術補助
研究期間:9708~ 9807
研究經費:722仟元
資料類型 report
dc.contributor 國立政治大學金融系en_US
dc.contributor 行政院國家科學委員會en_US
dc.creator (作者) 陳松男zh_TW
dc.date (日期) 2008en_US
dc.date.accessioned 25-Jun-2012 15:16:43 (UTC+8)-
dc.date.available 25-Jun-2012 15:16:43 (UTC+8)-
dc.date.issued (上傳時間) 25-Jun-2012 15:16:43 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/53163-
dc.description.abstract (摘要) 匯率連動利率選擇權（Quanto Interest-Rate Options；QIROs），亦可稱為跨通貨利率選擇權（Cross-Currency Interest-Rate Options），可作為企業與投資者管理跨國間利率風險的商品，本研究將對QIROs 進行評價與分析。本文欲使用 BGM (1997) 提出的LIBOR Market Model (LMM)進行研究評價，因QIROs 具有匯率連動效果( Quanto effect )，在評價時須將此效果納入考量。跨通貨LIBOR 市場模型(the Cross-Currency LMM) 由單一國家經濟環境延伸至兩國經濟環境，在此模型中兩國的LIBOR 與匯率的動態過程適用於推導QIROs 的評價公式。文中將以平賭過程評價方法，對 QIROs 進行評價推導理論封閉解 (Closed-Form Solution)，並作避險策略與實務應用的探討，除可供學術研究之參考，亦可供發行金融機構與投資人於實務運用之參考。為能供實務運用，並將探討如何進行參數校準(Calibration)；文中亦將進行蒙地卡羅模擬（Monte Carlo Simulation）以分析模型理論解的準確性。en_US
dc.description.abstract (摘要) The purpose of this paper is to price quanto interest-rate options (QIROs). To achieve it, a new model, namely, the cross-currency LIBOR market model, which extends the initial LIBOR market model from a single-currency economy to a cross-currency economy is adopted. The cross-currency LIBOR market model is suitable and applicable to pricing a variety of quanto-type interest rate derivatives. Five types of quanto interest-rate options are priced in this article. Hedging strategies and calibration procedures are also discussed in details. In addition, Monte-Carlo simulation is provided to evaluate the accuracy of the theoretical prices.en_US
dc.language.iso en_US-
dc.relation (關聯) 應用研究en_US
dc.relation (關聯) 學術補助en_US
dc.relation (關聯) 研究期間:9708~ 9807en_US
dc.relation (關聯) 研究經費:722仟元en_US
dc.subject (關鍵詞) 匯率連動利率選擇權;LIBOR 市場模型en_US
dc.subject (關鍵詞) Quanto; Interest rate option; LIBOR Market Model表en_US
dc.title (題名) 匯率連動利率選擇權之評價---跨國 LIBOR市場模型zh_TW
dc.title.alternative (其他題名) Valuation of Quanto Interest-Rate Options in a Cross-Currency Libor Market Modelen_US
dc.type (資料類型) reporten