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題名 無匯率風險下跨通貨股權交換之評價
Valuation of Cross-Currency Equity Swaps Without Currency Risks
作者 江怡蒨
Chiang, Yi-Chein
貢獻者 胡聯國
Len-Kuo Hu
江怡蒨
Yi-Chein Chiang
關鍵詞 股權交換
跨通貨
平賭過程
equity swap
cross-currency
martingale
日期 1998
上傳時間 20-Apr-2016 17:16:17 (UTC+8)
摘要 無匯率風險之跨通貨股權交換是新型態的衍生性金融商品,投資人可用此從事跨國投資,而不承擔匯率風險.本文立基於Dravid,Richardson and Sun(1993), Amin and Bodurhta(1995), 及Lin(1997), 首次推導間斷時間,可計算之無匯率風險下跨通貨單向及雙向股權交換之評價模型.在現金流量法之下,股價指數及匯率的隨機過程設定為lognormal process,利率則跟隨HJM模型.文中發現影響無匯率風險之跨通貨股權交換價格的主要變數為股價指數的波動度,外國股價指數與匯率間的相關性,以及兩國利率差距,與匯率的波動度無關.最後,以三個例子說明此新型態金融工具之運作情形.
Based on Dravid,Richardson, and Sun(1993), Amin and Bodurtha(1995), and Lin(1997), this thesis first derives the computable discrete-time pricing formulas for the cross-currency one-way and two-way equity swaps without currency risks, which are exotic financial derivatives used for cross-border investments without the exchange rate exposure. Under the cash flow approach, equity indexes and the exchange rate are modeled by the lognormal processes, and the interest rate processes follow the HJM model. The swap price is shown to depend on the volatilities of equity indexes, the interaction between the foreign equity index and the exchange rate, as well as the interest rate differential of two countries. It does ont depend on the volatility of the exchange rate. Finally, three cases illustrate the usage of these two exotic financial instruments.
參考文獻 [1]Amin,K.I.(1991),"On the Computation of Continuous Time Option Prices Using Discrete Approximations",Journal of Financial and Quantitative Analysis, 477-95.
     [2]Amin,K.I. and R.A.Jarrow(1991),"Pricing Foreign Currency Options Under Stocastic Interest Rates",Journal of international Money and Finance,310-29.
     [3]Amin,K.I.(1995),"Option Pricing Trees",Journal of Derivatives,34-45.
     [4]Amin,K.I. and J.N.Bodurtha,Jr.(1995),"Discrete-Time Valuation of American Options with Stochastic Interest Rates",Review of Financial Studies,193-234.
     [5]Beder,T.(1992),"Equity Derivatives for Investors",Journal of Financial Engineering,174-95.
     [6]Chance,D.M. and Rich,D.(1998),"The Pricing of Equity Swaps and Swaptions",Journal of Derivatives,19-31.
     [7]Dravid,A.,M.Richardson,and T.S.Sun(1993),"Pricing Foreign Index Contingent Claims:An Application to Nikkei Index Warrents",Journal of Derivatives,33-51.
     [8]Das,S.(1994),Swap & Derivative Financing:The Global Reference to Products,Pricing Applications and Markets,Chicago:Probus Publishing.
     [9]Falloon,W.(1993),"Escape from the Provinces",Risk,Vol 6,No 11,November,57-8.
     [10]------------(1996),"Swaps on the Side",Risk,Vol 9,No 1,January,22-4.
     [11]Finnerty,J.D.(1998),"Financial Engineering in Corporate Finance:An Overview",Financial Management,14-23.
     
     [12]Harrison,J.M. and D.Kreps(1979),"Martingales and Arbitrage in Multiperiod Securities Markets",Journal of Economic Theory,381-408.
     [13]Harrison,J.M. and S.R.Pliska(1981),"Martingales and Stochastic Integrals in the Theory of Continuous Trading",Stochastic Processes and Their Applications11,215-60.
     [14]He,H.(1990),"Convergence from Discrete to Continuous Time Contingent Claims Prices",Review of Financial Studies,523-46.
     [15]Hiemstra,M.(1995),"In Search of Equity Swaps",Risk,Vol 8,No 11,November,36-7.
     [16]Horsewood,R.(1997),"Picking up the Pace",Asia Risk,February,29-31.
     [17]Hull,J.C.(1997),Options,Futures, and Other Derivatives,3 edition,228-32.
     [18]Jacqueline,G.L. and david,R.(1998),The Salomon Smith Barney Guide to World Equity Markets 1998,London,Euromoney Publications PLC 1998.
     [19]Jarrow,R. and S.Turnbull(1996),Derivative Securities,Cincinasti:South-Western Publishing,448-9.
     [20]Kat,H.M. and Roozen,H.N.M.(1994),"Pricing and Hedging International Equity Derivatives",Journal of Derivatives,7-19.
     [21]Lin,W.(1997),"Pricing Equity Swaps",Journal of Financial Studies,Vol 5,No 1,July,43-72.
     [22]Marshall,J.F.,E.H.Sorensen and A.L.Tucker(1992),"Equity Derivatives:The Plain Vanilla Equity and Its Variants",Journal of Financial Engineering,219-41.
     [23]Marshall,J.F. and K.R.Kapner(1993),Understanding Swaps,New York:John Wiley and Sons.
     
     [24]Mahoney,J.M.(1995),"Correlation Products and Risk Management Issues",FRBNY Economic Policy Review,7-20.
     [25]Reed,N.(1994),"Explosive Consolidation",Risk,Vol 7,No 4,April.
     [26]Reed,D.(1995),"Note on the Valuation and Hedging of Equity Swaps",Journal of Financial Engineering,323-34.
     [27]Solnik.B.(1996),International Investments,3 edition,Addison-Wesley Publishing.
     [28]Sundaram,R.K.(1997),"Equivalent Martingale Measures and Risk-Neutral Pricing:An Expository Note",Journal of Derivatives,85-98.
     [29]Turnbull,S.(1993),"Pricing and Hedging Diff Swaps", Journal of Financial Engineering,297-333.
     [30]Ungar,E.M.(1996),Swap Literacy:A Comprehensible Guide,Princeton,N.J.:Bloomberg Press.
     [31]Wei,J.Z.(1994),"Valuing Differential Swaps",Journal of Derivatives,64-76.
描述 博士
國立政治大學
國際經營與貿易學系
83351503
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001530
資料類型 thesis
dc.contributor.advisor 胡聯國zh_TW
dc.contributor.advisor Len-Kuo Huen_US
dc.contributor.author (Authors) 江怡蒨zh_TW
dc.contributor.author (Authors) Yi-Chein Chiangen_US
dc.creator (作者) 江怡蒨zh_TW
dc.creator (作者) Chiang, Yi-Cheinen_US
dc.date (日期) 1998en_US
dc.date.accessioned 20-Apr-2016 17:16:17 (UTC+8)-
dc.date.available 20-Apr-2016 17:16:17 (UTC+8)-
dc.date.issued (上傳時間) 20-Apr-2016 17:16:17 (UTC+8)-
dc.identifier (Other Identifiers) B2002001530en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85847-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 83351503zh_TW
dc.description.abstract (摘要) 無匯率風險之跨通貨股權交換是新型態的衍生性金融商品,投資人可用此從事跨國投資,而不承擔匯率風險.本文立基於Dravid,Richardson and Sun(1993), Amin and Bodurhta(1995), 及Lin(1997), 首次推導間斷時間,可計算之無匯率風險下跨通貨單向及雙向股權交換之評價模型.在現金流量法之下,股價指數及匯率的隨機過程設定為lognormal process,利率則跟隨HJM模型.文中發現影響無匯率風險之跨通貨股權交換價格的主要變數為股價指數的波動度,外國股價指數與匯率間的相關性,以及兩國利率差距,與匯率的波動度無關.最後,以三個例子說明此新型態金融工具之運作情形.zh_TW
dc.description.abstract (摘要) Based on Dravid,Richardson, and Sun(1993), Amin and Bodurtha(1995), and Lin(1997), this thesis first derives the computable discrete-time pricing formulas for the cross-currency one-way and two-way equity swaps without currency risks, which are exotic financial derivatives used for cross-border investments without the exchange rate exposure. Under the cash flow approach, equity indexes and the exchange rate are modeled by the lognormal processes, and the interest rate processes follow the HJM model. The swap price is shown to depend on the volatilities of equity indexes, the interaction between the foreign equity index and the exchange rate, as well as the interest rate differential of two countries. It does ont depend on the volatility of the exchange rate. Finally, three cases illustrate the usage of these two exotic financial instruments.en_US
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001530en_US
dc.subject (關鍵詞) 股權交換zh_TW
dc.subject (關鍵詞) 跨通貨zh_TW
dc.subject (關鍵詞) 平賭過程zh_TW
dc.subject (關鍵詞) equity swapen_US
dc.subject (關鍵詞) cross-currencyen_US
dc.subject (關鍵詞) martingaleen_US
dc.title (題名) 無匯率風險下跨通貨股權交換之評價zh_TW
dc.title (題名) Valuation of Cross-Currency Equity Swaps Without Currency Risksen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [1]Amin,K.I.(1991),"On the Computation of Continuous Time Option Prices Using Discrete Approximations",Journal of Financial and Quantitative Analysis, 477-95.
     [2]Amin,K.I. and R.A.Jarrow(1991),"Pricing Foreign Currency Options Under Stocastic Interest Rates",Journal of international Money and Finance,310-29.
     [3]Amin,K.I.(1995),"Option Pricing Trees",Journal of Derivatives,34-45.
     [4]Amin,K.I. and J.N.Bodurtha,Jr.(1995),"Discrete-Time Valuation of American Options with Stochastic Interest Rates",Review of Financial Studies,193-234.
     [5]Beder,T.(1992),"Equity Derivatives for Investors",Journal of Financial Engineering,174-95.
     [6]Chance,D.M. and Rich,D.(1998),"The Pricing of Equity Swaps and Swaptions",Journal of Derivatives,19-31.
     [7]Dravid,A.,M.Richardson,and T.S.Sun(1993),"Pricing Foreign Index Contingent Claims:An Application to Nikkei Index Warrents",Journal of Derivatives,33-51.
     [8]Das,S.(1994),Swap & Derivative Financing:The Global Reference to Products,Pricing Applications and Markets,Chicago:Probus Publishing.
     [9]Falloon,W.(1993),"Escape from the Provinces",Risk,Vol 6,No 11,November,57-8.
     [10]------------(1996),"Swaps on the Side",Risk,Vol 9,No 1,January,22-4.
     [11]Finnerty,J.D.(1998),"Financial Engineering in Corporate Finance:An Overview",Financial Management,14-23.
     
     [12]Harrison,J.M. and D.Kreps(1979),"Martingales and Arbitrage in Multiperiod Securities Markets",Journal of Economic Theory,381-408.
     [13]Harrison,J.M. and S.R.Pliska(1981),"Martingales and Stochastic Integrals in the Theory of Continuous Trading",Stochastic Processes and Their Applications11,215-60.
     [14]He,H.(1990),"Convergence from Discrete to Continuous Time Contingent Claims Prices",Review of Financial Studies,523-46.
     [15]Hiemstra,M.(1995),"In Search of Equity Swaps",Risk,Vol 8,No 11,November,36-7.
     [16]Horsewood,R.(1997),"Picking up the Pace",Asia Risk,February,29-31.
     [17]Hull,J.C.(1997),Options,Futures, and Other Derivatives,3 edition,228-32.
     [18]Jacqueline,G.L. and david,R.(1998),The Salomon Smith Barney Guide to World Equity Markets 1998,London,Euromoney Publications PLC 1998.
     [19]Jarrow,R. and S.Turnbull(1996),Derivative Securities,Cincinasti:South-Western Publishing,448-9.
     [20]Kat,H.M. and Roozen,H.N.M.(1994),"Pricing and Hedging International Equity Derivatives",Journal of Derivatives,7-19.
     [21]Lin,W.(1997),"Pricing Equity Swaps",Journal of Financial Studies,Vol 5,No 1,July,43-72.
     [22]Marshall,J.F.,E.H.Sorensen and A.L.Tucker(1992),"Equity Derivatives:The Plain Vanilla Equity and Its Variants",Journal of Financial Engineering,219-41.
     [23]Marshall,J.F. and K.R.Kapner(1993),Understanding Swaps,New York:John Wiley and Sons.
     
     [24]Mahoney,J.M.(1995),"Correlation Products and Risk Management Issues",FRBNY Economic Policy Review,7-20.
     [25]Reed,N.(1994),"Explosive Consolidation",Risk,Vol 7,No 4,April.
     [26]Reed,D.(1995),"Note on the Valuation and Hedging of Equity Swaps",Journal of Financial Engineering,323-34.
     [27]Solnik.B.(1996),International Investments,3 edition,Addison-Wesley Publishing.
     [28]Sundaram,R.K.(1997),"Equivalent Martingale Measures and Risk-Neutral Pricing:An Expository Note",Journal of Derivatives,85-98.
     [29]Turnbull,S.(1993),"Pricing and Hedging Diff Swaps", Journal of Financial Engineering,297-333.
     [30]Ungar,E.M.(1996),Swap Literacy:A Comprehensible Guide,Princeton,N.J.:Bloomberg Press.
     [31]Wei,J.Z.(1994),"Valuing Differential Swaps",Journal of Derivatives,64-76.		zh_TW