English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51719079      Online Users : 658
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/61676


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61676


    Title: A Valuation of Quanto Constant Maturity Swap Products under the Three-Factor BGM Model
    Other Titles: 三因子BGM模型下匯率連動固定期利率交換商品之評價
    Authors: 廖四郎;楊繡碧;蔡宏彬
    Liao, Szu-Lang;Yang, Hsiu-Pi;Tsai,Hung-Pin
    Contributors: 金融系
    Keywords: 匯率連動固定期利率交換;Quanto CMS利差選擇權;Quanto CMS輪棘選擇權;三因子BGM模型;蒙地卡羅模擬法
    Quanto CMS;Quanto CMS Spread option;Quanto CMS ratchet option;three-factor BGM model;Monte Carlo simulation
    Date: 2011.06
    Issue Date: 2013-11-13 17:46:47 (UTC+8)
    Abstract: 匯率連動固定期利率交換（Quanto Constant Maturity Swaps，以下簡稱Quanto CMS）商品可做爲管理國外利率交換利差風險的輔助工具。以往對Quanto CMS商品的評價通常是利用蒙地卡羅模擬法(Monte Carlo Simulation)來模擬進行，但這樣的評價方式通常較耗時。本文應用國外遠期交換利率近似於國外遠期LIBOR利率之線性組合的特徵來設定BGM模型下國外遠期交換利率的近似動態過程。基於國外遠期交換利率的近似動態，本文推導出三因子BGM模型下評價Quanto CMS利差選擇權(Quanto Constant Maturity Swaps Spread Option)及Quanto CMS輪棘選擇權(Quanto Constant Maturity Swaps Ratchet Option)的近似解析公式。數值分析的結果顯示上述兩種商品在不同履約價下近似解析公式解法對應蒙地卡羅模擬法的相對誤差都很小且近似解析公式解法之計算時間遠少於蒙地卡羅模擬法。
    Quanto constant maturity swaps (Quanto CMS) products can be used to manage the spread risk of foreign interest rate swap. Monte Carlo simulation is usually used to evaluate Quanto CMS products, but it`s often time consuming to use Monte Carlo simulation method. In this paper we derive an approximated dynamic process of the foreign forward swap rate under the three-factor BGM model with the characteristic which the foreign forward swap rate is approximated to the linear combination of the foreign forward LIBOR rate. We use no-arbitrage analytical formula to evaluate Quanto CMS products under the three-factor BGM model. Then we apply this approximated formula to evaluate Quanto CMS Spread option and Quanto CMS Ratchet option. The numerical analysis shows that the relative errors between the Monte Carlo simulations and the approximated analytic formulas are very small for the both examined option products. Moreover, the calculation time of the analytic formulas method is much smaller than the Monte Carlo simulation method for both products.
    Relation: Journal of the Chinese Statistical Association, 49(2) , 60-81
    Data Type: article
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    6081.pdf1168KbAdobe PDF21196View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback