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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/76527
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/76527

    Title: Equity swaps in a LIBOR market model
    Authors: Wu, T.-P.;Chen, Son-Nan
    Contributors: 金融系
    Date: 2007-09
    Issue Date: 2015-07-13 16:43:35 (UTC+8)
    Abstract: This study extends the BGM (A. Brace, D. Gatarek, & M. Musiela, 1997) interest rate model (the London Interbank Offered Rate [LIBOR] market model) by incorporating the stock price dynamics under the martingale measure. As compared with traditional interest rate models, the extended BGM model is both appropriate for pricing equity swaps and easy to calibrate. The general framework for pricing equity swaps is proposed and applied to the pricing of floating-for-equity swaps with either constant or variable notional principals. The calibration procedure and the practical implementation are also discussed. © 2007 Wiley Periodicals, Inc.
    Relation: Journal of Futures Markets, 27(9), 893-920
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1002/fut.20270
    DOI: 10.1002/fut.20270
    Appears in Collections:[金融學系] 期刊論文

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