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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/70698

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/70698

Title:	Pricing Currency Options under Double Exponential Jump Diffusion in a Markov-Modulated HJM Economy
Authors:	江彌修 Chiang, Mi-Hsiu;Li, Chang-Yi;Chen, Son-Nan
Contributors:	金融系
Keywords:	Currency options;Heath–Jarrow–Morton model;Double exponential jump diffusion;Esscher transform;Markov chainC02;G13;G15
Date:	2014.09
Issue Date:	2014-10-22 12:29:53 (UTC+8)
Abstract:	Extending the framework of Amin and Jarrow (J Int Money Financ 10:310–329, 1991) and Bo et al. (Insur Math Econ 46:461–469, 2010), this study provides a theoretical exploration of currency options pricing under the presence of interest-rate regime shifts and exchange-rate asymmetric jumps. Evidence of interest-rate regime shifts inferred from UK and US zero coupon bond yields provides support for the regime-switching specifications which we reflect upon the domestic and foreign forward rates. Results of statistical tests conducted on JPY/USD and EUR/USD FX rates provide further support the rationale behind using a double exponential jump diffusion process within a Markov modulated Heath–Jarrow–Morton economy. Our numerical results suggest that, the pricing performance of our model is closely comparable to the Bo-Wang-Yang model for at-the-money options, yet yields improvements in percentage root mean errors for in-the-money options.
Relation:	Review of Quantitative Finance and Accounting, published online: 10 Sep 2014
Data Type:	article
Appears in Collections:	[金融學系] 期刊論文

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