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    题名: 跨通貨股酬交換之評價-遠期平賭測度法
    其它题名: Pricing Cross-Currency Equity Swap---A Forward Martingale Measure Approach
    作者: 廖四郎
    关键词: 匯率風險;股酬交換;本國風險中立測度;跨通貨股酬交換;股酬交換避險
    Exchange rate risk;Equity swap;Domestic spot martingale measure;Cross-currency equity swap;Hedging equity swap
    日期: 2000
    上传时间: 2007-04-18 16:34:52 (UTC+8)
    出版者: 臺北市:國立政治大學金融系
    摘要: 本研究推導出股酬交換的定價公式。在HJM 隨機利率的國際金融架構下,利用本國風險中立測度求出一般化的股酬交換無套利價值。在交換契約中的結算通貨可以是任意的貨幣。本文發現在跨通貨的股酬交換定價公式中,匯率風險是決定其價值的重要因素。同時本文亦探討了股酬交換的避險方法。
    This research derives the valuation formula for general cross-currency equity swaps. Under the HJM framework of international security economy, the valuation formula is derived by the use of domestic spot martingale measure. The pricing model is general in the sense that the settlement currency can be chosen to be any currencies. The study finds that the premium of exchange rate risk is important in the valuation process and this distinguishes it from domestic or cross-currency without exchange-rate risk swaps. Also, the hedging method of swaps is investigated.
    描述: 核定金額:310500元
    数据类型: report
    显示于类别:[金融學系] 國科會研究計畫

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