| dc.creator (作者) | 廖四郎 | zh_TW |
| dc.creator (作者) | Wang,Ming-Chieh;Liao,Szu-Lang | - |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 14-十一月-2008 12:19:15 (UTC+8) | - |
| dc.date.available | 14-十一月-2008 12:19:15 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-十一月-2008 12:19:15 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/7434 | - |
| dc.description.abstract (摘要) | This article provides a generalized formula for pricing equity swaps with constant notional principal when the underlying equity markets and settlement currency can be set arbitrarily. To derive swap values using the risk-neutral valuation method, the swap payment is replicated at each settlement date by constructing a self-financing portfolio. To obtain the foreign equity index return denominated in the domestic or in a third currency, equity-linked foreign exchange options are used to hedge the exchange rate risk. It is found that if the swap involves international equity markets, then the swap value contains an extra term which reflects the currency hedging costs. This methodology can easily be applied to price various types of equity swaps simply by modifying the specifications of the model presented here as required. | - |
| dc.format | application/ | en_US |
| dc.language | en | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Futures Markets, 23, 751-772 | en_US |
| dc.title (題名) | Pricing Models of Equity Swaps | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1002/fut.10082 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1002/fut.10082 | en_US |
