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博碩士論文 etd-0727100-113506 詳細資訊
Title page for etd-0727100-113506
論文名稱
Title
跨通貨股酬交換及交換選擇權之評價
The Pricing of Cross currency Equity Swaps and Swaptions
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
84
研究生
Author
指導教授
Advisor
召集委員
Convenor

口試委員
Advisory Committee
口試日期
Date of Exam
2000-07-14
繳交日期
Date of Submission
2000-07-27
關鍵字
Keywords
跨通貨股酬交換、交換選擇權、機率測度、風險中立評價模式
Probability measure, Cross-currency Equity Swap, Swaption
統計
Statistics
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The thesis/dissertation has been browsed 5709 times, has been downloaded 8670 times.
中文摘要
摘 要
本文延伸Amin和Bodurtha(1995)、Lin(1997)的設定,並修正傳統股酬交換的評價模式,以及結合利率交換模型上的發展,來推導一個間斷時間及且可計算的跨通貨股酬交換評價模式。經由遠期平賭的風險中立定價條件,得到決定交換價值的,主要是國外市場的遠期利率波動,而如果在固定利率的條件下,則由國外股價與匯率波動的相關程度來決定,國外股價指數及匯率的波動對交換價值影響並不大,此外文中亦利用國外股價指數,以及國內和國外的純粹折現債券,來複製一個到期價值為既定匯率國外股價指數的投資組合。

傳統對股酬交換的評價模式,均利用遠期價格來求得期間的預期報酬,在無套利條件下,期間的預期報酬等於遠期利率水準,故股酬交換等於期間利率交換,所以相關的評價模式均可適用利率交換模型。但在跨通貨的股酬交換則未必如此,期間股價和匯率的價格過程,以及各變數間的相關係數,亦對交換利率有所影響。

本文模型的意義,在於延伸傳統的股酬交換評價模式至跨通貨的交換中,其中因考慮不同的市場基礎,故必須納入一修正項來調整不同的機率測度轉換,而修正項主要係因為期間匯率風險之故,同時亦反應銀行的避險成本。故若不考慮跨通貨交換,則本文模型與傳統評價模式一致。

文中同時比較與其他股酬交換評價模式的差異,在於本文模型額外考慮一修正項,來反應不同機率測度的基礎,這修正項包含了期間的匯率風險和對遠期測度調整。此外本文亦對股酬交換的相關衍生產品,如股酬交換選擇權、交換上下限、變動名目本金、以及混合交換的評價模式予以推導。與Chance和Rich模型相比較,在於文中模型對價格過程均己設定且在間斷時期下,故其為可計算和求解的,同時將本文的跨通貨模式設定予以修改,在不考慮匯率因素時,即能適用於國內市場的股酬交換上。

最後利用數值分析的方式,經由給定隨機變數的機率分配,來探討外生變數改變對交換價值和交換利率的影響,可得到國外遠期利率的波動為決定交換利率的主要因素,波動度愈高,則交換利率愈高。同時如果匯率與國外股價、以及匯率與國外遠期利率的波動為負相關,亦會使交換價值及利率上升。

Abstract
Abstract
The valuation of equity swap under the condition of risk neutral is similar to the forward interest rate swap with the same period. Therefore, its valuation formula is consistent to interest rate swap model in the traditional methods. But it is not the same as in pricing the cross-currency equity swap. The dymanic prices of foreign stock index and exchange rate, and the correlation coefficients between exchange rates and foreign assets also affect the swap rate.

In this paper, we extend Chance and Rich(1998)’s valuation formula of equity swaps, and apply Amin (1991)、Amin and Bodurtha(1995)、Lin(1997)’s dymanic prices of assets in discrete time period. To derive the risk neutral valuation formula of equity swap, it uses the method of transfer probability measure. This study finds the expected return of foreign stock index in the no arbitrage condition, in addition equal to foreign forward interest rate with the same period , must be add a correction term to reflect the exchange rate risk and the transfer of forward martingale measure.

This paper also derives the pricing formula of equity swaptions、caps、floors、variable notional principal and blended equity swap. Finally, we find the volatility of foreign forward interest rate is the most important factor of pricing the swap rate from numerical simulation. And if the correlation of the volatility of exchange rate and foreign stock index、the correlation of the volatility of exchange rate and foreign forward interest rate are negative, the swap rate will be higher.

目次 Table of Contents
目 次
第一章 緒論
第二章 股酬交換簡介與相關文獻探
第三章 跨通貨股酬交換評價模式 第四章 雙向股酬交換的風險中立評
第五章 複製法
第六章 雙向股酬交換及相關衍生產品之評價
第七章 數值分析
第八章 結論
附錄
參考文獻 References
參考文獻

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