확률적 이자율 모형을 이용한 환율 관련 파생상품의 가치평가

DC Field Value Language
dc.contributor.advisor배형옥-
dc.contributor.authorKim Juhyun-
dc.date.accessioned2019-10-21T07:28:38Z-
dc.date.available2019-10-21T07:28:38Z-
dc.date.issued2016-08-
dc.identifier.other23267-
dc.identifier.urihttps://dspace.ajou.ac.kr/handle/2018.oak/18915-
dc.description학위논문(석사)--아주대학교 일반대학원 :금융공학과,2016. 8-
dc.description.tableofcontents1 Introduction 1 2 Preliminaries 3 2.1 Basic concepts in the General Probability Theory 3 3 The Usability of Num_x0013_eraire 7 3.1 Introduction of Num_x0013_eraire 7 3.2 The change of Num_x0013_eraire 7 3.3 Foreign and Domestic Risk-Neutral Measures 10 4 The Relation of a foreign equity call struck in foreign currency option between the domestic and the foreign risk-neutral measure 16 5 The Pricing of a foreign equity call struck in foreign currency with stochastic interest rate 20 5.1 Forward measure 20 6 Computational Analysis 27 7 Conclusion 38 References 39-
dc.language.isokor-
dc.publisherThe Graduate School, Ajou University-
dc.rights아주대학교 논문은 저작권에 의해 보호받습니다.-
dc.title확률적 이자율 모형을 이용한 환율 관련 파생상품의 가치평가-
dc.title.alternativePricing of a foreign equity call struck in foreign currency option with Stochastic interest rate-
dc.typeThesis-
dc.contributor.affiliation아주대학교 일반대학원-
dc.contributor.alternativeNameKim, Ju-Hyun-
dc.contributor.department일반대학원 금융공학과-
dc.date.awarded2016. 8-
dc.description.degreeMaster-
dc.identifier.localId758900-
dc.identifier.urlhttp://dcoll.ajou.ac.kr:9080/dcollection/jsp/common/DcLoOrgPer.jsp?sItemId=000000023267-
dc.subject.keywordexchange rate-
dc.subject.keywordquanto-
dc.subject.keywordforward measure-
dc.subject.keywordnumeraire-
dc.description.alternativeAbstractIn financial engineering, it is important to find a closed form formula of financial derivatives. However, many of the financial products do not have a closed form formula. Reiner has explained how to adopt Black-Scholes, and furthermore, introduced a method to solve four options related to the exchange rate. In this paper, we study a foreign equity call struck in foreign currency that is one of the four. To price the option, we use a num\'eraire and a measure change. We also solve the option under a stochastic interest rate. By using the two methods, we derive interesting two results: Firstly, a foreign equity call struck in foreign currency(in domestic) is accomplished by the multiplication of an exchange rate and an European call option(in foreign). Secondly, if stock price(in domestic) is equal to the multiplication of stock price(in foreign) and exchange rate, and also exercise price(in domestic) is equal to the multiplication of exercise price(in foreign) and exchange rate, a foreign equity call struck in foreign currency(in domestic) is accomplished by the multiplication of an exchange rate and a foreign equity call struck in foreign currency(in foreign). We found that this option simply is accomplished in only an exchange rate.-
Appears in Collections:
Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
Files in This Item:
There are no files associated with this item.

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

Browse