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題名 | 考慮發行商違約風險下的平均匯率選擇權=Pricing Average Exchange Rate Options Subject to Counter-Party Default Risk |
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作者 | 張瑞珍; Chang, Jui-jane; |
期刊 | 中國統計學報 |
出版日期 | 20140600 |
卷期 | 52:2 2014.06[民103.06] |
頁次 | 頁241-264 |
分類號 | 563.2 |
語文 | chi |
關鍵詞 | 標準型匯率選擇權; 平均匯率選擇權; 交易對手違約風險; Plain vanilla exchange rate options; Average exchange rate options; Counter-party default risk; |
中文摘要 | 近年來,國際間由於出口策略與金融危機,造成匯率大幅波動,顯示匯率風險管理的重要性。根據市場交易量顯示,外匯選擇權乃重要的匯率避險工具,而且在降低成本與避免過度避險的考量下,平均匯率選擇權在匯率風險管理上尤其重要。然而,大部分的外匯選擇權商品皆透過櫃檯買賣進行交易,標準型選擇權評價模型在未考量交易對手的違約風險下,將會高估選擇權價值。本文分別建立考量發行商違約風險下之匯率選擇權與平均匯率選擇權之評價模型,以符合市場上發行商可能違約的實際狀況,計算公平的匯率選擇權價值。 |
英文摘要 | Recently, the export strategies and financial crises between countries amplify the volatility of exchange rate and shed light on the importance of risk management on foreign exchange rate. According to market trading volumes, the foreign exchange rate options are important financial derivatives in managing such risks. After considering hedging costs and avoiding over hedging, the average foreign exchange rate options are especially important. Unfortunately, standard option pricing model does not take the counterparty risk into consideration in pricing options and thus over estimates the option premium. This paper constructs option pricing models for both foreign exchange rate option and average foreign exchange rate option with default risk of issuer. Therefore, this paper provides fair option prices to reflect the market reality of default risks. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。