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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]\r\n[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\r\n[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\r\n[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\r\n[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\r\n[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\r\n[英文部分]\r\n[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\r\n[2] Chance, D. M. and Rich, D., “The Pricing of Equity Swaps and Swaptions”, Journal of Derivatives, Summer 1998, pp. 19-31\r\n[3] Chang, Chung, and Yu, ” Valuation and Hedging of Differential Swaps in a General Form”, working paper, 1998\r\n[4] Elliott, R. J. and Kopp,P.E., Mathematics of Financial Market, Springer, 1998\r\n[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\r\n[6] Jarrow, R. and Turnbull, S., Derivative Securities, Cincinasti: South-Western College publishing, 1996\r\n[7] Joel Chernoff, ”2 funds do direct equity swap”, Pension&Inverestments, Feb 23, 1998\r\n[8] Lin, W. T., ” Pricing Equity Swaps”, Journal of Financial Studies, Vol. 5, No. 1, July 1997, pp. 43-72\r\n[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\r\n[10] Musiela, M. and Rutkowski, M., Martingale Method in Financial Modeling, Springer, 1997\r\n[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\r\n[12] Rich, D. “The Mathematical Foundations of Barrier Option Pricing Theory”, Advances in Futures and Options Research, 1994, pp. 267-311\r\n[13] San-Lin Chung, ” Pricing Equity Swaps: A Comment”, Journal of Financial Studies, Vol. 6, No. 3, January 1999, pp. 63-68\r\n[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) https://ah.lib.nccu.edu.tw/item?item_id=95062-
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\r\n證明書\r\n致謝詞\r\n論文摘要\r\n目錄\r\n第壹章 緒論\r\n第一節 研究動機\r\n第二節 研究目的\r\n第三節 研究架構\r\n第貳章 股酬交換評價模式之相關文獻探討\r\n第一節 國內股酬交換的評價\r\n第二節 跨通貨股酬交換的評價\r\n第三節 相關文獻總結\r\n第參章 股酬交換之評價模式與避險方法\r\n第一節 資產價格過程設定\r\n第二節 股酬交換的一般化設定\r\n第三節 跨通貨股酬交換的評價模式\r\n第四節 兩支付日間跨通貨股酬交換的評價模式\r\n第五節 評價模式中的發現\r\n第六節 跨通貨股酬交換之避險方法\r\n第肆章 跨通貨股酬交換與利率交換之比較\r\n第一節 跨通貨利率交換之評價模式\r\n第二節 跨通貨股酬交換與利率交換之比較\r\n第伍章 結論與建議\r\n第一節 結論\r\n第二節 未來研究建議\r\n附錄\r\n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]\r\n[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\r\n[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\r\n[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\r\n[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\r\n[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\r\n[英文部分]\r\n[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\r\n[2] Chance, D. M. and Rich, D., “The Pricing of Equity Swaps and Swaptions”, Journal of Derivatives, Summer 1998, pp. 19-31\r\n[3] Chang, Chung, and Yu, ” Valuation and Hedging of Differential Swaps in a General Form”, working paper, 1998\r\n[4] Elliott, R. J. and Kopp,P.E., Mathematics of Financial Market, Springer, 1998\r\n[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\r\n[6] Jarrow, R. and Turnbull, S., Derivative Securities, Cincinasti: South-Western College publishing, 1996\r\n[7] Joel Chernoff, ”2 funds do direct equity swap”, Pension&Inverestments, Feb 23, 1998\r\n[8] Lin, W. T., ” Pricing Equity Swaps”, Journal of Financial Studies, Vol. 5, No. 1, July 1997, pp. 43-72\r\n[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\r\n[10] Musiela, M. and Rutkowski, M., Martingale Method in Financial Modeling, Springer, 1997\r\n[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\r\n[12] Rich, D. “The Mathematical Foundations of Barrier Option Pricing Theory”, Advances in Futures and Options Research, 1994, pp. 267-311\r\n[13] San-Lin Chung, ” Pricing Equity Swaps: A Comment”, Journal of Financial Studies, Vol. 6, No. 3, January 1999, pp. 63-68\r\n[14] Wei, J. Z., ” Valuation Differential Swaps”, Journal of Derivatives, Spring 1994, pp. 64-76zh_TW