Pricing and Analyzing the Foreign Exchange Derivatives - Target Redemption Forward
碩士 === 東吳大學 === 財務工程與精算數學系 === 104 === This paper extends the exchange rate dynamic model to pricing the foreign exchange derivatives. Various kinds of Target Redemption Forward (TRF) are included in foreign exchange derivatives. In order to identify the pricing performance of the prediction-adjuste...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/vqn9d6 |
| Summary: | 碩士 === 東吳大學 === 財務工程與精算數學系 === 104 === This paper extends the exchange rate dynamic model to pricing the foreign exchange derivatives. Various kinds of Target Redemption Forward (TRF) are included in foreign exchange derivatives. In order to identify the pricing performance of the prediction-adjusted-exchange-rate dynamic model, the TRF foreign exchange derivatives are mainly priced in US dollar.
At first, the prediction performance of future spot exchange rate in Fama (1984) is discussed and is included in exchange rate dynamic models. Furthermore, the exchange rate dynamic models are adjusted under forward exchange rate prediction to value TRF and to analyze exchange rate derivatives under this prediction.
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