政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/85405

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/85405

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/85405

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85405

Title:	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
Authors:	姜碧嘉 Chiang, Bi-Chia
Contributors:	陳威光廖四郎 Chen, Wei-Kuang Liao, Szu-Lang 姜碧嘉 Chiang, Bi-Chia
Keywords:	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
Date:	2001
Issue Date:	2016-04-18 16:28:14 (UTC+8)
Abstract:	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。
Reference:	[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
Description:	碩士國立政治大學金融研究所 88352010
Source URI:	http://thesis.lib.nccu.edu.tw/record/#A2002001548
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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