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

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題名:	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
作者:	吳庭斌
貢獻者:	財務金融學系
關鍵詞:	跳躍匯率模型;匯率衍生性商品;匯率衍生性商品之避險策略;研究領域：管理科學
日期:	2011-08-01
上傳時間:	2012-01-17 19:13:55 (UTC+8)
出版者:	行政院國家科學委員會
摘要:	一籃子匯率選擇權之評價及探討匯率資產負債管理之應用第一年摘要：依投資人投資與避險的需求，設計並探討一系列匯率相關衍生性商品。將Wu and Chen（2007）的兩國模型推廣成n+1國的模型，模型包含各國資產、匯率、利率的動態過程，其中資產與匯率使用幾何布朗運動描述，利率模型則採用Brace, Gatarek and Musiela (1997) 所提出的LIBOR市場模型。並在此架構下，求出一系列的匯率相關衍生性商品的評價公式，並使用Monte Carlo Simulation驗證公式的準確性。避險策略及參數校準方法亦在此計畫中討論。第二年摘要：將第一年求出的模型一般化，即是將各國資產、匯率、利率的動態過程進一步加入跳躍因子(Jump)，並在此模型架構下，求出一系列的匯率相關衍生性商品的評價公式，並使用Monte Carlo Simulation驗證公式的準確性。避險策略及參數校準方法亦在此計畫中討論。 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. 研究期間：10008 ~ 10107
關聯:	財團法人國家實驗研究院科技政策研究與資訊中心
顯示於類別:	[財務金融學系] 研究計畫

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