本文探討可違約互換率之匯率連動選擇權的評價，外國以及本國違約交
換率的動態是建立在LIBOR 市場模型的框架。為了簡化推導過程，我們將
原本本國以及外國交換率的雙動態轉為單一動態, 因此違約以及履約價將轉
換為一個固定的常數比率來評價可違約互換率之匯率連動選擇權。由於商品
本身是考量違約的情況，因此使用遠期的存活測度來評價可違約互換率之匯
率連動選擇權。最後在數值分析的部分我們使用蒙地卡羅來模擬可違約互換
率之匯率連動選擇權，理論值與模擬值的結果接近。 / 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.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0097352502 |
| Creators | 陳宏銘 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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