Earticle

초록

영어

The main purpose of this paper is to derive the analytic valuation formulae of …xed range accrual notes (FiRAN) and ‡oating range accrual notes (FlRAN) in the context of an a¢ ne term-structure model incorporating stochastic long-run mean, stochastic volatility and jumps according to the empirical …ndings of An- dersen et al.(2004). We propose a quasi-analytic pricing and hedging solutions for range accrual notes and these solutions are demonstrated in sensitivity analysis. Our numerical results show all these three factors signi…cantly a¤ect the values and hedging strategies of range accural notes, and the factor of stochastic mean plays the most important role in either valuation or hedging.

목차

Abstract
 1 Introduction
 2 A¢ ne Term Structure Model
 3 FiRAN and FlRAN Frameworks
  3.1 Building Blocks for RANs
  3.2 Valuing Range Accrual Notes
 4 A Three-FactorModel with StochasticMean, Stochastic Volatility, and Jump
  4.1 Hedging RANs
 5 Sensitivity Analysis
  5.1 Sensitivity of Model Speci•cation
  5.2 Sensitivity of Risks
 6 Conclusion
 References
 Appendix
 Table

키워드

저자

• Shaoyu Li [ Wang Yanan Institute for Studies in Economics, Xiamen University ]
• Hongming Huang [ National Central University ]
• Li-Chuan Tsai [ Wang Yanan Institute for Studies in Economics, Xiamen University ]

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  한국재무학회 학술대회

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  2006~2024

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  KDC 325 DDC 330