| dc.contributor | 金融學系 | en_US |
| dc.creator (作者) | Chou, Chi-Hsun ; Chen, Son-Nan | en_US |
| dc.date (日期) | 2010-04 | en_US |
| dc.date.accessioned | 29-Apr-2014 09:13:45 (UTC+8) | - |
| dc.date.available | 29-Apr-2014 09:13:45 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Apr-2014 09:13:45 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/65649 | - |
| dc.description.abstract (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. | en_US |
| dc.format.extent | 220202 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 中國統計學報,48(1),1-30 | en_US |
| dc.subject (關鍵詞) | Cross-currency LIBOR market model;exotic quanto swap;quanto cap;quanto floor;quanto swap | en_US |
| dc.title (題名) | Valuation Of Quanto Interest Rate Derivatives In a Cross-Currency LIBOR Market Model | en_US |
| dc.type (資料類型) | article | en |
