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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/65649

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/65649

Title:	Valuation Of Quanto Interest Rate Derivatives In a Cross-Currency LIBOR Market Model
Authors:	Chou, Chi-Hsun;Chen, Son-Nan
Contributors:	金融學系
Keywords:	Cross-currency LIBOR market model;exotic quanto swap;quanto cap;quanto floor;quanto swap
Date:	2010-04
Issue Date:	2014-04-29 09:13:45 (UTC+8)
Abstract:	This article is to provide the analytical valuation formulae of quanto interest rate derivatives based on a cross-currency LIBOR market model. The dynamics of forward LIBOR rates is a multi-factor model which incorporates the domestic and foreign interest rates and the exchange rate processes in a cross-currency environment. Under the framework, the pricing formulae of quanto interest rate derivatives are easy to implement in practice and model parameters can be acquired easily from the market quantities. The empirical results are shown to be sufficiently accurate and robust as compared to Monte Carlo simulation.
Relation:	中國統計學報,48(1),1-30
Data Type:	article
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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