Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104791

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104791

Title:	Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Authors:	吳庭斌;Chang, Jui-Jane;Chen, Son-Nan;Wu, Ting-Pin
Contributors:	管理學院財務金融學系
Keywords:	Computation;Credit default swaps;Currencies;Currency;Currency swaps;Hedging;LIBOR;Market prices;Markets;Monte Carlo simulation;Price models;Prices;Risk management;Simulation;Spread;Studies;Trade
Date:	2013-09-01
Issue Date:	2026-04-23 11:58:12 (UTC+8)
Publisher:	Wiley-Liss Inc.;Hoboken: Blackwell Publishing Ltd
Abstract:	摘要： Despite the fact that currency‐protected swaps and swaptions are widely traded in the marketplace, pricing models for zero‐spread swaps, and swaptions have rarely been examined in the extant literature. This study presents a multicurrency LIBOR market model and uses it to derive pricing formulas for currency‐protected swaps and swaptions with nonzero spreads. The resulting pricing formulas are shown to be feasible and tractable for practical implementation and their hedging strategies are also provided. Our pricing formulas provide prices close to those computed from Monte Carlo simulation, but involve far less computation time, and thereby offering almost instant price quotes to clients and daily marking‐to‐market trading books, and facilitating efficient risk management of trading positions. 其他題名： J. Fut. Mark 出版者： Hoboken: Blackwell Publishing Ltd 出版日期： 2013-09 出處： The journal of futures markets, 2013-09, Vol.33 (9), p.827-867 資源來源： Wiley Online Library 版權： 2012 Wiley Periodicals, Inc. 版權： Copyright Wiley Periodicals Inc. Sep 2013 識別號： ISSN: 0270-7314 識別號： EISSN: 1096-9934 識別號： DOI: 10.1002/fut.21567 識別號： CODEN: JFMADT
Appears in Collections:	[Department of Finance] journal & Dissertation

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