Equilibrium valuation of foreign exchange claims

• 成果类型: Article
• 署名作者: Bakshi, GS; Chen, ZW
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb04822.x
• 发表日期: 1997
• 页码: 799-826
• 关键词: CURRENCY OPTIONS; interest-rates; stochastic volatility; term structure; MODEL; INFORMATION; VALUES; prices; bond

摘要

This article studies the equilibrium valuation of foreign exchange contingent claims. Within a continuous-time Lucas (1982) two-country model, exchange rates, interest rates and, in particular, factor risk prices are all endogenously and jointly determined. This guarantees the internal consistency of these price processes with a general equilibrium. In the same model, closed-form valuation formulas are presented for currency options and currency futures options. Common to these formulas is that stochastic volatility and stochastic interest rates are admitted. Hedge ratios and other comparative statics are also provided analytically. It is shown that most existing currency option models are included as special cases.