利率期限结构服从Levy过程的跨通货零息债券评价.docVIP

利率期限結構服從Levy過程的跨通貨零息債券評價Pricing Cross Currency Zero Coupon Bond under Levy Term Structures 廖四郎 Szu-Lang Liao* 政治大學金融系 Department of Money and Banking, National Chengchi University 徐保鵬 Pao-eng Hsu 政治大學金融系 Department of Money and Banking, National Chengchi University摘要近年來不論是利率市場或者是外匯市場的商品價格皆發生價格跳躍現象，有鑑於此不少文獻提出跳躍-擴散過程修正評價模型本文建構一個跨國經濟體系之下，本國、外國的利率及兩國之間的匯率皆為evy過程的模型假設利率期限結構分別為單因子模型及HJM模型，應用平賭測度轉換，推導出國外零息債券(ZCB)的價格，並且分別探討駝峰、線性、微笑型殖利率結構下，國外ZCB的價格行為。利率型或債券型路徑相依商品。關鍵詞：單因子模型、HJM、Levy過程、蒙地卡羅 Recently, the phenomena of jumps in prices were seen not only in the interest rate markets but also in the exchange rate markets, hence many researches present the jump-diffusion processes to modify the pricing or hedging. This paper assumes that the interest rate and the exchange rate of home and foreign countries are both Levy processes under a cross-currency economy and sets the term structure to be one-factor short rate model and HJM model. By martingale methods, the domestic risk neutral measure under one-factor short rate model and HJM model are obtained and the closed form of the foreign zero coupon bonds are derived. Assuming that the evolution of the forward rates is based upon a deterministic and humped volatility functions, this paper discusses how the foreign zero coupon bond reacts when the parameters change including the jump part and volatility part. In addition, we illustrate how to use our paper’s results to price path-dependent derivatives of interest rate or bond by Monte Carlo simulation. Keywords: One-factor short rate model, HJM model, Levy process, Monte Carlo Simulation. 本文聯繫作者：廖四郎,國立政治大學金融系教授 NO.64, Sec.2, ZhiNan Rd., Wenshan District, Taipei City 11605, Taiwan (R.O.C); Tel: (02) 2939-3091 ext. 81251; Fax: (02) 2939-8004; E-mail: liaosl@nccu.edu.tw. 壹、前言 自從Das (2002)證實利率過程有跳躍現象以來，大量的文獻開始設定利率隨機過程符合跳躍擴散過程跳躍擴散過程最初是由Metorn (1976)所提出，利用假設資產價格ompound Possion）過程來修正價格可能會出現的不連續點由於價格過程同時包括連續及不連續點，跳躍擴散過程布朗運動(BM)更一般化。Hardouvelis (1988)， Dwyer Hafer (1989) ，Naik Lee (19