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題名 | 在CIR利率期限結構與隨機波動變性下外匯選擇權之訂價模型=Pricing Currency Options Under CIR Interest Rate Process and Stochastic Volatility |
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作者 | 董夢雲; 俞明德; 張傳章; 張森林; Dong, Meng-yun; Yu, Min-teh; Chang, Chuang-chang; Chung, San-lin; |
期刊 | 管理學報 |
出版日期 | 20020800 |
卷期 | 19:4 2002.08[民91.08] |
頁次 | 頁707-735 |
分類號 | 563.2 |
語文 | chi |
關鍵詞 | CIR利率期限結構; 隨機波動變性; 歐式外匯選擇權; CIR interest rate process; Stochastic volatility; European currency options; |
中文摘要 | 本研究在考慮CIR利率期限結構與隨機波動變性經濟環境下,推導出歐式外匯選擇權之分析解(analytic Solution),並以模擬分析的方式,比較由本文模型所計算出來的外匯選擇權價格,和文獻上固定利率及波動性模型(Garman-Kohlhagen(1983))以及隨機利率及固定波動性模型(Hilliard-Madura-Tucker(1991))所計算出來的外匯選擇權價格是否有差異。由模擬結果得知,隨機波動性較隨機利率對外匯選擇權價格的影響顯著。 |
英文摘要 | This paper develops a model for pricing European currency options under CIR interest rate process and stochastic volatility. An analytic solution under martingale measure is presented and option prices are computed using Monte Carol simulations. These option values are compared with those from constant interest rate and volatility model (Garman-Kohlhagen(1983)) and those from stochastic interest rate and constant volatility model (Hilliard-Madura-Tucker(1991)). We find that the option values of our model are significant different from those of Garman-Kohlhagen(1983) and Hilliard-Madura-Tucker(1991). Overall, stochastic volatility have more impact on option values than stochastic interest rate. |
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