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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/65947

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/65947

Title:	Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model
Authors:	江彌修 Chen, Son-Nan;Chiang, Mi-Hsiu;Hsu, Pao-Peng;Li, Chang-Yi
Contributors:	金融系
Keywords:	HJM;Markov chain;Esscher transform;Quanto options
Date:	2013.10
Issue Date:	2014-05-12 15:32:35 (UTC+8)
Abstract:	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
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.frl.2013.09.002
DOI:	10.1016/j.frl.2013.09.002
Appears in Collections:	[金融學系] 期刊論文

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