Valuation of Quanto Options on Defaultable Swap Rates

Valuation of Quanto Options on Defaultable Swap Rates

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博士 === 國立政治大學 === 金融研究所 === 103 === This study prices quanto options on defaultable swap rates (QODSR) in which domestic and foreign defaultable swap rates are considered in the LIBOR market model. We use two fixed ratios to price the QODSR with the default and strike rate property. The forward defa...

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Main Author: 陳宏銘
Other Authors: Chen, Son Nan
Format: Others
Language:en_US
Online Access:http://ndltd.ncl.edu.tw/handle/70866313975956872215
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spelling ndltd-TW-103NCCU52140402016-11-20T04:18:15Z http://ndltd.ncl.edu.tw/handle/70866313975956872215 Valuation of Quanto Options on Defaultable Swap Rates 可違約互換率之匯率連動選擇權的評價 陳宏銘 博士 國立政治大學 金融研究所 103 This study prices quanto options on defaultable swap rates (QODSR) in which domestic and foreign defaultable swap rates are considered in the LIBOR market model. We use two fixed ratios to price the QODSR with the default and strike rate property. The forward default-swap measure provides a simple method for valuing the QODSR. Numerical analysis is performed and compared with the Monte Carlo method to investigate the effects of volatility and default on the QODSR. Chen, Son Nan Lin, Chien Hsiu 陳松男 林建秀 學位論文 ; thesis 36 en_US
collection NDLTD
language en_US
format Others
sources NDLTD
description 博士 === 國立政治大學 === 金融研究所 === 103 === This study prices quanto options on defaultable swap rates (QODSR) in which domestic and foreign defaultable swap rates are considered in the LIBOR market model. We use two fixed ratios to price the QODSR with the default and strike rate property. The forward default-swap measure provides a simple method for valuing the QODSR. Numerical analysis is performed and compared with the Monte Carlo method to investigate the effects of volatility and default on the QODSR.
author2 Chen, Son Nan
author_facet Chen, Son Nan
陳宏銘
author 陳宏銘
spellingShingle 陳宏銘
Valuation of Quanto Options on Defaultable Swap Rates
author_sort 陳宏銘
title Valuation of Quanto Options on Defaultable Swap Rates
title_short Valuation of Quanto Options on Defaultable Swap Rates
title_full Valuation of Quanto Options on Defaultable Swap Rates
title_fullStr Valuation of Quanto Options on Defaultable Swap Rates
title_full_unstemmed Valuation of Quanto Options on Defaultable Swap Rates
title_sort valuation of quanto options on defaultable swap rates
url http://ndltd.ncl.edu.tw/handle/70866313975956872215
work_keys_str_mv AT chénhóngmíng valuationofquantooptionsondefaultableswaprates
AT chénhóngmíng kěwéiyuēhùhuànlǜzhīhuìlǜliándòngxuǎnzéquándepíngjià
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