题名

A Numerically Efficient Valuation Method for American Currency Options with Stochastic Interest Rates

并列篇名

隨機利率下美式外匯選擇權之數值效率評價法

DOI

10.6295/TAMJ.2003.0302.01

作者

張森林(San-Lin Chung)

关键词

美式選擇權定價 ； 隨機利率 ； 本國風險中立評價關係 ； 遠期風險中立測度 ； American option pricing ； stochastic interest rates ； domestic risk neutral valuation relationship ； forward-risk-adjusted measure

期刊名称

台灣管理學刊

卷期/出版年月

3卷2期（2003 / 08 / 01）

页次

1 - 27

内容语文

英文
中文摘要

本文擴展Ho，Stapleton，and Subrahmanyam (1997a)的一般化Geske-Johnson (1984)法，以評價隨機利率下的美式外匯選擇權，在假設利率的波動函數非隨機(deterministic)的情況下，我們推導出歐式外匯選擇權價格的封閉式解，以及可在兩個時點履約的外匯選擇權價格的分析解，再利用兩點外插的Geske-Johnson (1984)的近似公式來計算美式外匯選擇權的價格。我們也進行數值及比較靜態分析，以瞭解隨機利率對於美式外匯選擇權價格的影響。雖然本文的模型只是Amin and Bodurtha (1995)一般化模型的特例，但是我們的數值結果和他們類似但卻更加具有數值效率性。
英文摘要

This paper extends Ho, Stapleton, and Subrahmanyam's (1997a) generalized Geske-Johnson (1984) technique to price American currency options in a stochastic interest rate economy. We derive closed form solutions for European currency options and analytical form solutions for twice-exercisable currency options assuming that the volatility functions determining the term structure are deterministic. The two-point Geske and Johnson (1984) approximation formula is then applied to estimate American option prices. Numerical evaluations and comparative statics are presented to show the effect of stochastic interest rates. Although the model in this article is a special case of Amin and Bodurtha's (1995) general model, our numerical results are similar to theirs yet our method is numerically efficient.
主题分类 社會科學 > 管理學
参考文献
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