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| Title | Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model |
| Creator | 江彌修 Chen, Son-Nan; Chiang, Mi-Hsiu; Hsu, Pao-Peng ; Li, Chang-Yi |
| Contributor | 金融系 |
| Key Words | HJM; Markov chain; Esscher transform; Quanto options |
| Date | 2013.10 |
| Date Issued | 12-May-2014 15:32:35 (UTC+8) |
| Summary | We consider the valuation of European quanto call options in an incomplete market where the domestic and foreign forward interest rates are allowed to exhibit regime shifts under the Heath–Jarrow–Morton (HJM) framework, and the foreign price dynamics is exogenously driven by a regime switching jump-diffusion model with Markov-modulated Poisson processes. We derive closed-form solutions for four different types of quanto call options, which include: options struck in a foreign currency, a foreign equity call struck in domestic currency, a foreign equity call option with a guaranteed exchange rate, and an equity-linked foreign exchange-rate call. |
| Relation | Financial Research Letters,Available online 17 October 2013 |
| Type | article |
| DOI | http://dx.doi.org/10.1016/j.frl.2013.09.002 |
| dc.contributor | 金融系 | en_US |
| dc.creator (作者) | 江彌修 | zh_TW |
| dc.creator (作者) | Chen, Son-Nan; Chiang, Mi-Hsiu; Hsu, Pao-Peng ; Li, Chang-Yi | en_US |
| dc.date (日期) | 2013.10 | en_US |
| dc.date.accessioned | 12-May-2014 15:32:35 (UTC+8) | - |
| dc.date.available | 12-May-2014 15:32:35 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-May-2014 15:32:35 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/65947 | - |
| dc.description.abstract (摘要) | We consider the valuation of European quanto call options in an incomplete market where the domestic and foreign forward interest rates are allowed to exhibit regime shifts under the Heath–Jarrow–Morton (HJM) framework, and the foreign price dynamics is exogenously driven by a regime switching jump-diffusion model with Markov-modulated Poisson processes. We derive closed-form solutions for four different types of quanto call options, which include: options struck in a foreign currency, a foreign equity call struck in domestic currency, a foreign equity call option with a guaranteed exchange rate, and an equity-linked foreign exchange-rate call. | en_US |
| dc.format.extent | 540131 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Financial Research Letters,Available online 17 October 2013 | en_US |
| dc.subject (關鍵詞) | HJM; Markov chain; Esscher transform; Quanto options | en_US |
| dc.title (題名) | Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.frl.2013.09.002 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.frl.2013.09.002 | en_US |