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A quanto option can be any cash-settled option, whose payoff is converted into a third currency at maturity at a pre-specified rate, called the quanto factor. There can be quanto plain vanilla, quanto barriers, quanto forward starts, quanto corridors, etc. The valuation theory is covered for example in [3] and [1]. --
A quanto option can be any cash-settled option, whose payoff is converted into a third currency at maturity at a pre-specified rate, called the quanto factor. There can be quanto plain vanilla, quanto barriers, quanto forward starts, quanto corridors, etc. The valuation theory is covered for example in [3] and [1].
Nos últimos anos o mundo tem enfrentado grandes mudanças climáticas, fruto maioritariamente, dos maus hábitos de consumo de energia dos indivíduos. Por isso, é inevitável uma alteração desses mesmos hábitos, ou corre-se o risco de, a curto prazo, o mundo enfrentar consequências nefastas. Actualmente, o consumo desmedido das energias convencionais, ou não renováveis, conduzirá ao seu esgotamento e a um agravamento das condições de vida das gerações futuras. Assim, torna-se urgente a passagem das energias convencionais para uma maior exploração e consumo das renováveis, proporcionando desta forma, um desenvolvimento mundial mais sustentável. Neste trabalho analisa-se o comportamento dos consumidores quanto à adopção, das energias renováveis, tendo como objectivo perceber se estes estão mais conscientes dos seus actos e se por isso adopta...
[[abstract]]This article is to provide the analytical valuation formulae of quanto interest rate derivatives based on a cross-currency LIBOR market model. The dynamics of forward LIBOR rates is a multi-factor model which incorporates the domestic and foreign interest rates and the exchange rate processes in a cross-currency environment. Under the framework, the pricing formulae of quanto interest rate derivatives are easy to implement in practice and model parameters can be acquired easily from the market quantities. The empirical results are shown to be sufficiently accurate and robust as compared to Monte Carlo simulation.
[[abstract]]We consider the valuation of European quanto call options in an incomplete market where the domestic and foreign forward interest rates are allowed to exhibit regime shifts under the Heath–Jarrow–Morton (HJM) framework, and the foreign price dynamics is exogenously driven by a regime switching jump-diffusion model with Markov-modulated Poisson processes. We derive closed-form solutions for four different types of quanto call options, which include: options struck in a foreign currency, a foreign equity call struck in domestic currency, a foreign equity call option with a guaranteed exchange rate, and an equity-linked foreign exchange-rate call.
We collect simple and pragmatic exact formulae for the convexity adjustment of irregular interest rate cash flows as Libor-in-arrears or payments of a swap rate (CMS rate) at an irregular date. The results are compared with the results of an approximative approach available in the popular literature. For options on Libor-in-arrears or CMS rates like caps or binaries we derive an additional new convexity adjustment for the volatility to be used in a standard Black & Scholes model. We study the quality of the adjustments comparing the results of the approximative Black & Scholes formula with the results of an exact valuation formula. Further we investigate options to exchange interest rates which are possibly set at different dates or admit different tenors. We collect general quanto adjustments formulae for variable interest rates to be...
[[tableofcontents]]第一章 緒論 6 第一節 研究動機 6 第二節 研究目的 9 第二章 文獻探討 10 第一節 EIA商品介紹 10 ㄧ、 單資產連結 10 二、 多資產連結 13 第二節 蒙地卡羅模擬法介紹 14 ㄧ、 反向變異法(Antithetic Variates) 17 二、 控制變異法(Control Variates) 17 第三章 研究方法與模型設定 20 第一節 單資產Quanto模型 20 第二節 多資產Quanto模型 24 第四章 數值例子 27 第一節 單資產Quanto EIA 27 第二節 多資產Quanto EIA 32 第五章 結論 73
The CME Nikkei 225 "Quanto" futures contract settles against the Nikkei Index but taken to refer to US dollars. In contrast, the corresponding "Vanilla" instruments trading in Singapore and Osaka, settle in Yen. We show that the returns to the Quanto future are correlated with returns to the US market, as represented by the CME S&P500 future, even after controlling for the returns to the Vanilla contract, translated into dollars, and the dollar/Yen returns. This correlation is partially reversed the next day. This result goes against the usual analysis of Quanto instruments, which asserts that they can be hedged via the corresponding vanilla instrument, and a currency position. In fact, we show that our Quanto and Vanilla investment strategies should not differ in their currency exposure, and this is reflected in the significance of th...
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