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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31219


    Title: 跨國經濟體系下Quanto Range Accrual Notes的評價與避險
    Pricing and Hedging of Quanto Range Accrual Notes under Gaussian HJM with Cross- Currency Levy Processes
    Authors: 徐保鵬
    Hsu, Pao Peng
    Contributors: 廖四郎
    Liao, Szu Lang
    徐保鵬
    Hsu, Pao Peng
    Keywords: 區間票息債券
    Range Accrual Notes
    Compound-Poisson jump
    Hedging Strategy
    Date: 2008
    Issue Date: 2009-09-14 09:33:18 (UTC+8)
    Abstract: This dissertation analyzes the pricing and hedging problems for quanto range accrual note under the HJM-framework with Levy processes for instantaneous domestic and foreign forward interest rates. We consider both the effects of jump risks of interest rate and exchange rate on the pricing of the notes.
    The pricing formula for quanto double interest rate digital option and quanto contingent payoff option are first derived, then we apply the method proposed by Turnbull(1995) to duplicate the qaunto range accrual note by a combination of the quanto double interest rate digital option and the qunato contingent payoff option. Furthermore, using the pricing formulas derived in this paper, we obtain the hedging position for each issue of range accrual notes.
    In addition, by simulation and assuming the jump to be compound Poisson process, we further analyze the effects of jump risk and exchange rate risk on the coupons receivable in holding a range accrual note.
    This dissertation analyzes the pricing and hedging problems for quanto range accrual note under the HJM-framework with Levy processes for instantaneous domestic and foreign forward interest rates. We consider both the effects of jump risks of interest rate and exchange rate on the pricing of the notes.
    The pricing formula for quanto double interest rate digital option and quanto contingent payoff option are first derived, then we apply the method proposed by Turnbull(1995) to duplicate the qaunto range accrual note by a combination of the quanto double interest rate digital option and the qunato contingent payoff option. Furthermore, using the pricing formulas derived in this paper, we obtain the hedging position for each issue of range accrual notes.
    In addition, by simulation and assuming the jump to be compound Poisson process, we further analyze the effects of jump risk and exchange rate risk on the coupons receivable in holding a range accrual note.
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    Description: 博士
    國立政治大學
    金融研究所
    91352502
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0913525021
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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