题名

No Arbitrage Pricing of Cross Currency Moving Average Exchange Options

并列篇名

無套利評價方法：跨國移動平均交換選擇權

作者

邱嘉洲(CHIA-CHOU CHIU)；韓千山(CHIEN-SHAN HAN)；莊雅竹(YA-CHU CHUANG)

关键词

cross currency ； moving average ； exchange options ； quanto options ； 跨通貨 ； 移動平均 ； 交換選擇權 ； 匯率連動選擇權

期刊名称

輔仁管理評論

卷期/出版年月

27卷3期（2020 / 09 / 01）

页次

37 - 66

内容语文

英文
中文摘要

This paper provides an analytic formula of Cross Currency Moving Average Exchange Options, referred as CCMAE Options. It is an option which exchanges one domestic asset for another foreign asset at the average level of price for certain periods of time. Essentially, it is a mixture of quanto, moving average, and exchange options, which are popularly traded options. We examine two types of CCMAE options with different types of payoff: a fixed foreign exchange rate CCMAE option (Fixed-CCMAE option) and a floating foreign exchange rate CCMAE option (Floating-CCMAE option). We also validate the accuracy of analytic formula of CCMAE options via Monte Carlo simulation, Monte Carlo integration, and numerical integration approaches.
英文摘要

本文提供了跨國移動平均交換選擇權的分析公式，該選擇權稱為CCMAE選擇權。就是一種選擇權，在一段時間內以平均價格，將一種國內資產換成另一種外國資產。實際上，它是在交易市場上常見選擇權，諸如，匯率連動、移動平均、及交換等選擇權之混合選擇權。換言之，我們提供的選擇權可以指定為標準的選擇權，就如同，匯率連動、移動平均、及交換等選擇權，為市場上標準的選擇權。接著，我們透過蒙地卡羅模擬、蒙地卡羅積分法、及數值積分方法等，驗證了CCMAE選擇權分析公式的準確性。我們研究兩種類型的CCMAE選擇權：其中一種，報酬指定為固定外匯匯率，其指的是固定匯率CCMAE選擇權（Fixed - CCMAE選擇權）；另一種，報酬指定為浮動外匯匯率，其指的是浮動匯率CCMAE選擇權（Floating - CCMAE選擇權）。
主题分类 社會科學 > 管理學
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