| dc.contributor | 金融系 | |
| dc.creator (作者) | 廖四郎 | zh_TW |
| dc.creator (作者) | Liao, Szu-Lang;Lian, Yu-Min | |
| dc.date (日期) | 2013-09 | |
| dc.date.accessioned | 21-Mar-2016 15:46:41 (UTC+8) | - |
| dc.date.available | 21-Mar-2016 15:46:41 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-Mar-2016 15:46:41 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/82757 | - |
| dc.description.abstract (摘要) | In this paper, we study the valuation of European currency options when the dynamics of the spot foreign exchange rate are driven by geometric Brownian motions with Markov-modulated Poisson processes. Under such dynamics, the jump events are described as a compound Poisson process with log-normal jump size, and the regime-switching arrival intensity is governed by a continuous-time finite-state Markov chain. Since the market is incomplete, we present a framework for option valuation using the technique of Esscher transforms. After determining the Esscher parameters, we derive the analytical pricing formulas of European currency options under Markov-modulated jump risks. | |
| dc.format.extent | 155 bytes | - |
| dc.format.extent | 348 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | International Research Journal of Finance and Economics, No.114, 93-101 | |
| dc.title (題名) | The Valuation of Currency Options with Markov-Modulated Jump Risks | |
| dc.type (資料類型) | article | |
