無匯率風險之跨通貨股權交換是新型態的衍生性金融商品,投資人可用此從事跨國投資,而不承擔匯率風險.本文立基於Dravid,Richardson and Sun(1993), Amin and Bodurhta(1995), 及Lin(1997), 首次推導間斷時間,可計算之無匯率風險下跨通貨單向及雙向股權交換之評價模型.在現金流量法之下,股價指數及匯率的隨機過程設定為lognormal process,利率則跟隨HJM模型.文中發現影響無匯率風險之跨通貨股權交換價格的主要變數為股價指數的波動度,外國股價指數與匯率間的相關性,以及兩國利率差距,與匯率的波動度無關.最後,以三個例子說明此新型態金融工具之運作情形.

1. Preliminary....................................................................................................................................................................1

1.1 Background...............................................................................................................................................................1

1.2 Brief Literature Review on the Pricing of Equity Swaps...........................................................................................3

1.3 The Aim of This Study.............................................................................................................................................4

1.4 Chapter Outline and Results......................................................................................................................................5

2.Introduction to Equity Swaps..........................................................................................................................................7

2.1 Basic Equity Swaps...................................................................................................................................................7

2.2 Variants of Baisc Equity Swaps...............................................................................................................................11

2.3 International Investment Environments....................................................................................................................12

2.4 Cross-Currency Equity Swaps.................................................................................................................................14

3. Literature Review...........................................................................................................................................................19

3.1 Marshall,Sorensen, and Tucker(1992)......................................................................................................................19

3.2 Rich(1995)................................................................................................................................................................20

3.3 Jarrow and Turnbull(1996).......................................................................................................................................22

3.4 Lin(1997)..................................................................................................................................................................25

3.5 Chance and Rich(1998).............................................................................................................................................27

4. Valuation of Cross-Currency Two-Way Equity Swaps Without Currency Risks Under Constant Interest Rates.........35

5. Valuation of Cross-Currency Two-Way Equity Swaps Without Currency Risks Under Stochastic Interest Rates.......43

6. Valuation of Cross-Currency One-Way Equity Swaps Without Currency Risks..........................................................55

7. Case Study......................................................................................................................................................................61

7.1 Case One...................................................................................................................................................................61

7.2 Case Two..................................................................................................................................................................63

7.3 Case Three.................................................................................................................................................................64

8. Conclusions...................................................................................................................................................................67

Appendixes........................................................................................................................................................................69

References .........................................................................................................................................................................92

Based on Dravid,Richardson, and Sun(1993), Amin and Bodurtha(1995), and Lin(1997), this thesis first derives the computable discrete-time pricing formulas for the cross-currency one-way and two-way equity swaps without currency risks, which are exotic financial derivatives used for cross-border investments without the exchange rate exposure. Under the cash flow approach, equity indexes and the exchange rate are modeled by the lognormal processes, and the interest rate processes follow the HJM model. The swap price is shown to depend on the volatilities of equity indexes, the interaction between the foreign equity index and the exchange rate, as well as the interest rate differential of two countries. It does ont depend on the volatility of the exchange rate. Finally, three cases illustrate the usage of these two exotic financial instruments.

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