Please use this identifier to cite or link to this item: https://ptsldigital.ukm.my/jspui/handle/123456789/485561
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dc.contributor.authorChang, Chuang-Chang-
dc.contributor.authorChung, San-Lin-
dc.contributor.authorYu, Min-Teh-
dc.date.accessioned2023-10-10T07:52:53Z-
dc.date.available2023-10-10T07:52:53Z-
dc.identifier.urihttps://ptsldigital.ukm.my/jspui/handle/123456789/485561-
dc.description.abstractThis paper develops a pricing and hedging model for differential swaps in a general form . In summary, the contributions of this paper are threefold . Firstly, we find out one error in the pricing formula developed by Wei ( 1994) and derive the correct one. Secondly, we propse a proposition which reveals the dual pricing relationship between a differential swap with domestic currency denominated principal and a differential swap with foreign currency denominated principal . Thirdly, we derive a pricing and hedging model for differential swaps with third country currency denominated principal . Hence this paper provides complete solutions for pricing and hedging differential swaps. Department of Finance, National Central University, Chung- Li 320, Taiwan. Tel : 886-3-4227424, Fax: 886-3-4252961, e-mail: ccchang@cc.ncu.edu.tw. The earlier version of this paper was presented in the 1997 annual meeting of Chinese Finance Association, the fifth annual conference of the Multinational Finance Society, and the 1998 meeting of Financial Management Association. We are especially grateful to Andrew Chen, Son-Nan Chen, Alberto Moel for helpful comments and discussions. Corresponding author: Chang.en_US
dc.language.isoenen_US
dc.publisherNanyang Business School, Nanyang Technological Universityen_US
dc.subjectForeign currencyen_US
dc.subjectDomestic currencyen_US
dc.subjectPricing and hedgingen_US
dc.titleValuation and hedging of differential swaps in a general formen_US
dc.typeSeminar Papersen_US
dc.format.pages48en_US
dc.identifier.callnoHG4026.A536 1999 semen_US
dc.contributor.conferencenameEleventh Annual PACAP/FMA Finance Conference-
dc.coverage.conferencelocationPan Pacific Hotel, Singapore-
dc.date.conferencedate1999-07-08-
Appears in Collections:Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding

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