Valuation of Quanto Interest Rate Exchange Options

匯率連動利率交換選擇權之定價

10.6545/JFS.2009.17(4).3

吳庭斌(Ting-Pin Wu)；傅端彬(Jui-Pin Fu)；陳松男(Son-Nan Chen)

匯率連動利率選擇權 ； 交換選擇權 ； LIBOR市場模型 ； Quanto Interest Rate Options ； Exchange Options ； LIBOR Market Model

財務金融學刊

17卷4期（2009 / 12 / 31）

57 - 91

英文

本論文使用跨國LIBOR市場模型評價五種不同的匯率連動交換選擇權：本國交換利率vs.外國交換利率；本國交換利率的vs.外國LIBOR利率；本國LIBOR利率vs.外國交換利率；外國交換利率vs.外國交換利率；外國交換利率的vs.外國LIBOR利率。本文亦提出在LIBOR市場模型架構下求解交換利率機率分配的近似方法，並利用此法評價匯率連動交換利率選擇權。透過蒙地卡羅模擬法的驗證，此近似的評價公式相當準確。

This paper employs the cross-currency LIBOR market model to price five types of quanto interest rate exchange options, namely, domestic swap rate vs. foreign Swap rate, domestic swap rate vs. foreign LIBOR rate, domestic LIBOR rate vs. foreign swap rate, foreign swap rate vs. foreign swap rate and foreign swap rate vs. foreign LIBOR rate. A new approach to approximate the distribution of a (foreign) forward swap rate under the cross-currency LIBOR market model is presented and employed to price quanto interest rate derivatives involved with constant-maturity swap rates. As compared with Monte Carlo simulation, the numerical examples show that the resulting pricing formulas are sufficiently and robustly accurate.

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