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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/7434


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    題名: Pricing Models of Equity Swaps
    作者: 廖四郎
    Wang,Ming-Chieh;Liao,Szu-Lang
    日期: 2003
    上傳時間: 2008-11-14 12:19:15 (UTC+8)
    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.
    關聯: Journal of Futures Markets, 23, 751-772
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1002/fut.10082
    DOI: 10.1002/fut.10082
    顯示於類別:[金融學系] 期刊論文

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