Generalized affine transform on pricing quanto range accrual note

Shaoyu Li, Henry H. Huang, Teng Zhang

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)


This paper was to price and hedge a quanto floating range accrual note (QFRAN) by an affine term structure model with affine-jump processes. We first generalized the affine transform proposed by Duffie et al. (2000) under both the domestic and foreign risk-neutral measures with a change of measure, which provides a flexible structure to value quanto derivatives. Then, we provided semi-analytic pricing and hedging solutions for QFRAN under a four-factor affine-jump model with the stochastic mean, stochastic volatility, and jumps. The numerical results demonstrated that both the common and local factors significantly affect the value and hedging strategy of QFRAN. Notably, the factor of stochastic mean plays the most important role in either valuation or hedging. This study suggested that ignorance of these factors in a term-structure model will result in significant pricing and hedging errors in QFRAN. In summary, this study provided flexible and easily implementable solutions in valuing quanto derivatives.

期刊North American Journal of Economics and Finance
出版狀態已出版 - 11月 2020


深入研究「Generalized affine transform on pricing quanto range accrual note」主題。共同形成了獨特的指紋。