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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/78211
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/78211

    Title: Cross-Currency Equity Swaps in the BGM Model
    Authors: Wu, Ting-Pin;Chen, Son-Nan
    Contributors: 金融系
    Date: 2007
    Issue Date: 2015-09-02 17:06:23 (UTC+8)
    Abstract: Under the arbitrage-free framework of the HJM model (Heath, Jarrow and Morton [1992]), this article simultaneously extends the BGM model (Brace, Gatarek and Musiela [1997]) from a single-currency economy to a cross-currency case and incorporates the stock price dynamics under the martingale measure. The resulting model is very general for pricing almost every kind of cross-currency equity swap traded in over-the-counter markets. Pricing formulas for equity swaps with hedged or unhedged exchange rate risk are derived using either a constant or a variable notional principal. The calibration procedure, hedging strategies, and numerical examples are also provided.
    Relation: Journal of Derivatives, 15(2), 60-76
    Data Type: article
    DOI 連結: http://dx.doi.org/10.3905/jod.2007.699046
    DOI: 10.3905/jod.2007.699046
    Appears in Collections:[金融學系] 期刊論文

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