固定匯率下跨國股酬交換之評價; The Valuation of Quanto Equity Swaps

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Title:	固定匯率下跨國股酬交換之評價;The Valuation of Quanto Equity Swaps
Authors:	楊孝雰;Hsiao-Fen Yang
Contributors:	財務金融研究所
Keywords:	權益交換;利率期限結構;風險中立評價模型;無套利評價模型;equity swaps;term structure of interest rates;risk-neutral valuation;arbitrage-free pricing model
Date:	2000-06-30
Issue Date:	2009-09-22 14:31:50 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本文主在延伸 Amin and Bodurtha (1995) 並導出跨國股酬交換的風險中立、無套利訂價模型。在利率為HJM模型及外國股價與匯率為對數常態分配的假設下，我們可以得到一評價公式。由評價公式，我們可以發現，於二交換日之間，交換價值會因當時外國股價水準的不同而有所不同；但於契約之始或在某筆交換執行後之瞬間，外國股價水準並不影響交換的價值。此外，本文也對跨國股酬交換提供一個避險的方法.。在敏感度分析中我們發現： 1.二國利率期限結構的差異對交換的價值影響大，而其絕對的水準影響非常小。 2.在外國利率期限結構水準大於本國利率期限結構時，交換的價值亦大，且其價值隨交換期間變長而增加。 3.在所有相關係數中，以匯率與外國利率及匯率與外國股價的相關係數對交換價值影響較大，其中又以匯率與外國股價的相關係數為影響交換價值最重要的參數。 This paper derives a pricing model for a quanto equity swap in which one party pays the domestic floating interest rate and the other pays the foreign stock return determined in foreign currency but paid in domestic one. We use the risk-neutral valuation technique developed by Amin and Bodurtha (1995) to generate an arbitrage-free pricing model. We obtain a closed-form solution under further specific assumptions on parameters and state variables. Our pricing formulae show that the value of a quanto equity swap at the start does not depend on the foreign stock level but on the term structures of both countries and other parameters. Between two payment dates, however, the foreign stock level do affect the swap value. The numerical implementation indicates that the domestic and foreign term structures, the correlation between the foreign interest rate and the exchange rate, and the correlation between the exchange rate and the foreign stock are more important factors than other parameters. If the valuation time is between two payment dates, the foreign stock price is also a key factor in valuing a quanto equity swap.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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