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題名 隨機利率下之資產交換－跨通貨股酬交換與利率交換的評價與避險
Asset Swap Under Stochastic Interest Rate__The Pricing and Hedging of Cross-Currency Equity Swap and Interest Rate Swap
作者 姜碧嘉
Chiang, Bi-Chia
貢獻者 陳威光<br>廖四郎
Chen, Wei-Kuang<br>Liao, Szu-Lang
姜碧嘉
Chiang, Bi-Chia
關鍵詞 跨通貨股酬交換
跨通貨利率交換
遠期機率測度
平賭過程
複製方法
避險方法
Cross-Currency Equity Swap
Cross-Currency Interest Rate Swap
Forward Probability Measure
Martingale Process
Replication Method
Hedging Method
日期 2001
上傳時間 18-Apr-2016 16:28:14 (UTC+8)
摘要 雖然跨通貨股酬交換在國際投資市場扮演著重要的角色，但文獻上關於股酬交換評價模式的相關探討並不多，且多集中於國內市場或以本國貨幣做為支付幣別的股酬交換。對於跨通貨股酬交換而言，其評價模式較國內股酬交換之評價模式複雜許多，如何將影響其價值之股價指數、匯率與利率此三個主要因子間的交互相關性同時加入考量，即是此產品之評價過程的重點。
參考文獻 [中文部分]
     [1] 王銘杰，跨通貨股酬交換及交換選擇權之評價，中山大學財務管理研究所博士論文，2000
     [2] 江怡蒨，無匯率風險下跨通貨股酬交換之評價，政治大學國際貿易研究所博士論文，1999
     [3] 楊孝雰，固定匯率下跨國股酬交換之評價，中央大學財務管理研究所碩士論文，2000
     [4] 廖四郎、王銘杰、徐守德，『股酬交換的一般化評價模式』，亞太經濟管理評論，第四卷，第一期，2000年9月，pp.73-95
     [5] 廖四郎，『從Black-Scholes模型分析論數理財務模型之發展』，亞太經濟管理評論，第二卷，第一期，1998年9月，pp. 97-123
     [英文部分]
     [1] Amin, K. I. and J. N. Bodurtha, Jr., ”Discrete-Time Valuation of American Options with Stochastic Interest Rates”, Review of Financial Studies, Spring 1995,Vol.8, No.1, pp.193-234
     [2] Chance, D. M. and Rich, D., “The Pricing of Equity Swaps and Swaptions”, Journal of Derivatives, Summer 1998, pp. 19-31
     [3] Chang, Chung, and Yu, ” Valuation and Hedging of Differential Swaps in a General Form”, working paper, 1998
     [4] Elliott, R. J. and Kopp,P.E., Mathematics of Financial Market, Springer, 1998
     [5] Heath, D., Jarrow, R., and Morton A., ” Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation”, Econometrica, 1992, pp. 77-105
     [6] Jarrow, R. and Turnbull, S., Derivative Securities, Cincinasti: South-Western College publishing, 1996
     [7] Joel Chernoff, ”2 funds do direct equity swap”, Pension&Inverestments, Feb 23, 1998
     [8] Lin, W. T., ” Pricing Equity Swaps”, Journal of Financial Studies, Vol. 5, No. 1, July 1997, pp. 43-72
     [9] Marshall, T. E., E. Sorensen, and A. Tucker, “Equity Derivatives: The Plain Vanilla Equity Swap and its Variants”, Journal of Financial Engineering, 1992, pp. 219-241
     [10] Musiela, M. and Rutkowski, M., Martingale Method in Financial Modeling, Springer, 1997
     [11] Paul Bolster, Don Chance, and Don Rich, “Executive Equity Swaps and Corporate Insider Holding”, Financial Management, Vol. 25, No. 2, Summer1996, pp. 14-24
     [12] Rich, D. “The Mathematical Foundations of Barrier Option Pricing Theory”, Advances in Futures and Options Research, 1994, pp. 267-311
     [13] San-Lin Chung, ” Pricing Equity Swaps: A Comment”, Journal of Financial Studies, Vol. 6, No. 3, January 1999, pp. 63-68
     [14] Wei, J. Z., ” Valuation Differential Swaps”, Journal of Derivatives, Spring 1994, pp. 64-76
描述 碩士
國立政治大學
金融研究所
88352010
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001548
資料類型 thesis
dc.contributor.advisor 陳威光<br>廖四郎zh_TW
dc.contributor.advisor Chen, Wei-Kuang<br>Liao, Szu-Langen_US
dc.contributor.author (Authors) 姜碧嘉zh_TW
dc.contributor.author (Authors) Chiang, Bi-Chiaen_US
dc.creator (作者) 姜碧嘉zh_TW
dc.creator (作者) Chiang, Bi-Chiaen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:28:14 (UTC+8)-
dc.date.available 18-Apr-2016 16:28:14 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:28:14 (UTC+8)-
dc.identifier (Other Identifiers) A2002001548en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85405-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 88352010zh_TW
dc.description.abstract (摘要) 雖然跨通貨股酬交換在國際投資市場扮演著重要的角色，但文獻上關於股酬交換評價模式的相關探討並不多，且多集中於國內市場或以本國貨幣做為支付幣別的股酬交換。對於跨通貨股酬交換而言，其評價模式較國內股酬交換之評價模式複雜許多，如何將影響其價值之股價指數、匯率與利率此三個主要因子間的交互相關性同時加入考量，即是此產品之評價過程的重點。zh_TW
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     目錄
     第壹章 緒論
     第一節 研究動機
     第二節 研究目的
     第三節 研究架構
     第貳章 股酬交換評價模式之相關文獻探討
     第一節 國內股酬交換的評價
     第二節 跨通貨股酬交換的評價
     第三節 相關文獻總結
     第參章 股酬交換之評價模式與避險方法
     第一節 資產價格過程設定
     第二節 股酬交換的一般化設定
     第三節 跨通貨股酬交換的評價模式
     第四節 兩支付日間跨通貨股酬交換的評價模式
     第五節 評價模式中的發現
     第六節 跨通貨股酬交換之避險方法
     第肆章 跨通貨股酬交換與利率交換之比較
     第一節 跨通貨利率交換之評價模式
     第二節 跨通貨股酬交換與利率交換之比較
     第伍章 結論與建議
     第一節 結論
     第二節 未來研究建議
     附錄
     參考文獻		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001548en_US
dc.subject (關鍵詞) 跨通貨股酬交換zh_TW
dc.subject (關鍵詞) 跨通貨利率交換zh_TW
dc.subject (關鍵詞) 遠期機率測度zh_TW
dc.subject (關鍵詞) 平賭過程zh_TW
dc.subject (關鍵詞) 複製方法zh_TW
dc.subject (關鍵詞) 避險方法zh_TW
dc.subject (關鍵詞) Cross-Currency Equity Swapen_US
dc.subject (關鍵詞) Cross-Currency Interest Rate Swapen_US
dc.subject (關鍵詞) Forward Probability Measureen_US
dc.subject (關鍵詞) Martingale Processen_US
dc.subject (關鍵詞) Replication Methoden_US
dc.subject (關鍵詞) Hedging Methoden_US
dc.title (題名) 隨機利率下之資產交換－跨通貨股酬交換與利率交換的評價與避險zh_TW
dc.title (題名) Asset Swap Under Stochastic Interest Rate__The Pricing and Hedging of Cross-Currency Equity Swap and Interest Rate Swapen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [中文部分]
     [1] 王銘杰，跨通貨股酬交換及交換選擇權之評價，中山大學財務管理研究所博士論文，2000
     [2] 江怡蒨，無匯率風險下跨通貨股酬交換之評價，政治大學國際貿易研究所博士論文，1999
     [3] 楊孝雰，固定匯率下跨國股酬交換之評價，中央大學財務管理研究所碩士論文，2000
     [4] 廖四郎、王銘杰、徐守德，『股酬交換的一般化評價模式』，亞太經濟管理評論，第四卷，第一期，2000年9月，pp.73-95
     [5] 廖四郎，『從Black-Scholes模型分析論數理財務模型之發展』，亞太經濟管理評論，第二卷，第一期，1998年9月，pp. 97-123
     [英文部分]
     [1] Amin, K. I. and J. N. Bodurtha, Jr., ”Discrete-Time Valuation of American Options with Stochastic Interest Rates”, Review of Financial Studies, Spring 1995,Vol.8, No.1, pp.193-234
     [2] Chance, D. M. and Rich, D., “The Pricing of Equity Swaps and Swaptions”, Journal of Derivatives, Summer 1998, pp. 19-31
     [3] Chang, Chung, and Yu, ” Valuation and Hedging of Differential Swaps in a General Form”, working paper, 1998
     [4] Elliott, R. J. and Kopp,P.E., Mathematics of Financial Market, Springer, 1998
     [5] Heath, D., Jarrow, R., and Morton A., ” Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation”, Econometrica, 1992, pp. 77-105
     [6] Jarrow, R. and Turnbull, S., Derivative Securities, Cincinasti: South-Western College publishing, 1996
     [7] Joel Chernoff, ”2 funds do direct equity swap”, Pension&Inverestments, Feb 23, 1998
     [8] Lin, W. T., ” Pricing Equity Swaps”, Journal of Financial Studies, Vol. 5, No. 1, July 1997, pp. 43-72
     [9] Marshall, T. E., E. Sorensen, and A. Tucker, “Equity Derivatives: The Plain Vanilla Equity Swap and its Variants”, Journal of Financial Engineering, 1992, pp. 219-241
     [10] Musiela, M. and Rutkowski, M., Martingale Method in Financial Modeling, Springer, 1997
     [11] Paul Bolster, Don Chance, and Don Rich, “Executive Equity Swaps and Corporate Insider Holding”, Financial Management, Vol. 25, No. 2, Summer1996, pp. 14-24
     [12] Rich, D. “The Mathematical Foundations of Barrier Option Pricing Theory”, Advances in Futures and Options Research, 1994, pp. 267-311
     [13] San-Lin Chung, ” Pricing Equity Swaps: A Comment”, Journal of Financial Studies, Vol. 6, No. 3, January 1999, pp. 63-68
     [14] Wei, J. Z., ” Valuation Differential Swaps”, Journal of Derivatives, Spring 1994, pp. 64-76		zh_TW