一籃子匯率選擇權之評價及探討資產負債的匯率風險管理之應用;Valuation of Currency Basket Options and Their Applications in Managing Currency Risk of Assets and Debts

NCUIR > School of Management at National Central University > Department of Finance > Research Project > Item 987654321/62833

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/62833

Title:	一籃子匯率選擇權之評價及探討資產負債的匯率風險管理之應用;Valuation of Currency Basket Options and Their Applications in Managing Currency Risk of Assets and Debts
Authors:	吳庭斌
Contributors:	國立中央大學財務金融學系
Keywords:	財政（含金融;保險）
Date:	2012-12-01
Issue Date:	2014-03-17 14:05:22 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	研究期間：10108~10207;Valuation of Currency Basket Options and Their Applications in Managing Currency Risk of Assets and Debts First Year According to investor’s investing and hedging needs, we want to design a series of exotic currency options. Then, we extend the model of Wu and Chen (2007) to the model of (n+1) countries. This model includes n different foreign country’s asset price dynamics, exchange rate dynamics and interest rate dynamics, and the domestic country’s asset price dynamics and interest rate dynamics. The interest rate model adopted in our model is the LIBOR market model. Within this framework, we derive the pricing formulas of the designed exotic currency options. We also examine the accuracy of our pricing formulas by compared with Monte Carlo simulation. The hedging strategies and calibration method are also examined. Second Year In the second year of the project, we extend the model proposed in the first year by adding the jump factor into our dynamics. We first find out the form of our model in the risk-neutral probability measure, and then derive the pricing formulas of the designed exotic currency options within this framework. We also examine the accuracy of our pricing formulas by compared with Monte Carlo simulation. The hedging strategies and calibration method are also examined.
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Finance] Research Project

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