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題 名 | 隨機利率經濟環境下外匯選擇權訂價之實證研究=An Empirical Study of Currency OPtions with Stochastic Interest Rates |
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作 者 | 張傳章; 周冠男; 曹潔君; | 書刊名 | 中山管理評論 |
卷 期 | 10:4 民91.冬 |
頁 次 | 頁591-622 |
分類號 | 563.2 |
關鍵詞 | 外匯選擇權; 隨機利率; 準最大概似估計法; Currency options; Stochastic interest rates; Quasi-maximum likelihood estimation approach; |
語 文 | 中文(Chinese) |
中文摘要 | 本文以Hillard-Madura-Tucker ( 1991 )納入隨機利率因素所導出的歐式外匯選擇權訂價模型為基礎,首先以模擬的方式詳細檢視隨機利率對外匯選擇權(特別是長天期外匯選擇權)價格的影響,由模擬的結果我們得知,外匯選擇權的到期期限愈長,則隨機利率因素對外匯選擇權價格的影響越顯著,此一結果與文獻上的結果一致。再則,我們利用Bollerslev-Wooldridge (1992) 年所提出之準最大概似估計法 (Quasi-Maximum Likelihood Estimation Approach) ,以費城股票交易所 (PHLX) 1990年所交易之歐式外匯選擇權的資料,估計外 匯及國內外利率之共變異矩陣(Covariance Matrix),並據此參數值以Hitlard-Madura-Tucker 模型估計歐式外匯選擇權的理論,最後再檢視隨機利率因素對外匯選擇權價格的影響,由實證結果發現,由於費城股票交易之歐式外匯選擇權的到期期限大都短於一年,因此隨機利率因素對外匯選擇權價格的影響並不顯著。 |
英文摘要 | This paper applies the stochastic interest rate currency option pricing model developed by Hillard-Madura-Tucker (1992) to examine effects of stochastic interest rates on the values of European currency options. From the simulation results, we find that the longer the maturity of the option, the more significant the stochastic interest rate effects. This result is consistent with those in the literature. Further, we employ the Bollerselev-Wooldridge (1992) quasi-maximum likelihood estimation approach to estimate the covariance matrix of exchange rate and domestic (foreign) interest rate using the PHLX 1990 currency option data. Based the estimated parameters, we calculate the model prices of European currency options using the Hillard-Madura-Tucker’s model and examine the effects of stochastic interest rates on the values of European currency options. We find that the effects of stochastic interest rate are not significant since the currency options traded in PHLX generally have maturities less than one year. |
本系統中英文摘要資訊取自各篇刊載內容。