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文章基本信息

  • 标题:Pricing of Reverse Currency Linked Equity Options
  • 本地全文:下载
  • 作者:Soon Young Chang
  • 期刊名称:Journal of Economic Research
  • 印刷版ISSN:1226-4261
  • 出版年度:2000
  • 卷号:5
  • 期号:2
  • 出版社:Hanyang Economic Research Institute
  • 摘要:

    This study aims to develop a closed-form pricing formula for reverse currency linked equity option (RCLEO) on the basis of the lemma proposed by Dravid, Richardson and Sun (1993). We derive the hedging portfolio consisting of foreign stocks and foreign bonds from the pricing formula. We also provide comparative statics of RCLEO to access the effects of option parameters on the option value such as time to maturity, base currency interest rate, foreign currency interest rate, volatility of foreign stock, volatility of exchange rate and correlation coefficient. This paper finds that the correlation coefficient has a clean-cut effect on the option value and that the base currency interest rate, foreign currency interest rate have relatively determinate effects while time to maturity, volatilities of foreign stock and exchange rate have ambiguous effects.

  • 关键词:RCLEO; Comparative statics
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