- 期刊
A Generalized Framework for Valuing Currency Futures Options
並列摘要
In valuing foreign currency futures options, it has been common to assume that the Interest Rate Parity is correct, and forward and futures contracts are perfect substitutes for each other. It is conceivable that this practice may bring in institutional bias, especially as the life of a futures contract increases and the interest rates are not constant. In this paper we develop a generalized analytic framework for valuing currency futures options. The framework is general in the sense that it is consistent with the current models, can incorporate dynamic volatility and dynamic term structure of interest rates, while not making the unnecessary assumptions.
被引用紀錄
鄭比傑（2015）。混合式記憶體架構中適應性分頁與緩衝區機制之研究〔碩士論文，中原大學〕。華藝線上圖書館。https://doi.org/10.6840/cycu201500737
謝明倫（2006）。薄膜式規則性多孔陽極氧化鋁膜製作〔碩士論文，國立中央大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0031-0207200917342245
延伸閱讀
- Chuang, C. Y. (2012). A Search Monetary Model with Uncertainty in Production and Futures Hedging [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2012.02667
- 張恪清（2015）。An Analysis of Global Futures Portfolios Trading Strategies〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2015.00839
- 李浩華（2016）。A Study on Investment Value of Major Currencies〔碩士論文，淡江大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0002-2706201622560100
- 向威駿（2016）。Examination of Various Key Factors in Currency Futures Trading Strategies〔碩士論文，中原大學〕。華藝線上圖書館。https://doi.org/10.6840/cycu201600618
- 陳俞成（2018）。Forecasting Future Exchange Rates by Currency Futures〔碩士論文，國立政治大學〕。華藝線上圖書館。https://doi.org/10.6814/THE.NCCU.ECONO.012.2018.F06