Since 2014
Valuation of Quanto Interest Rate Exchange Options
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
Valuation of Quanto Interest Rate Exchange Options
|
|
| Creator |
Ting-Pin Wu
Jui-Pin Fu Son-Nan Chen |
|
| Description |
This paper employs the cross-currency LIBOR market model to price five types of quanto interest rate exchange options, namely, domestic swap rate vs. foreign Swap rate, domestic swap rate vs. foreign LIBOR rate, domestic LIBOR rate vs. foreign swap rate, foreign swap rate vs. foreign swap rate and foreign swap rate vs. foreign LIBOR rate. A new approach to approximate the distribution of a (foreign) forward swap rate under the cross-currency LIBOR market model is presented and employed to price quanto interest rate derivatives involved with constant-maturity swap rates. As compared with Monte Carlo simulation, the numerical examples show that the resulting pricing formulas are sufficiently and robustly accurate. Key Words: Quanto Interest Rate Options, Exchange Options, LIBOR Market Model |
|
| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
|
| Date |
2011-03-10
|
|
| Type |
—
|
|
| Format |
application/pdf
|
|
| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011054
|
|
| Source |
Journal of Financial Studies; Vol 17, No 4 (2009); 57
財務金èžå¸åˆŠ; Vol 17, No 4 (2009); 57 |
|
| Language |
—
|
|