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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


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    題名: Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model
    作者: 江彌修
    Chen, Son-Nan;Chiang, Mi-Hsiu;Hsu, Pao-Peng;Li, Chang-Yi
    貢獻者: 金融系
    關鍵詞: HJM;Markov chain;Esscher transform;Quanto options
    日期: 2013.10
    上傳時間: 2014-05-12 15:32:35 (UTC+8)
    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.
    關聯: Financial Research Letters,Available online 17 October 2013
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1016/j.frl.2013.09.002
    DOI: 10.1016/j.frl.2013.09.002
    顯示於類別:[金融學系] 期刊論文

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