| dc.contributor | 金融系 | |
| dc.creator (作者) | Wu, Ting-Pin;Chen, Son-Nan | |
| dc.creator (作者) | 陳松男 | zh_TW |
| dc.date (日期) | 2007 | |
| dc.date.accessioned | 2-Sep-2015 17:06:23 (UTC+8) | - |
| dc.date.available | 2-Sep-2015 17:06:23 (UTC+8) | - |
| dc.date.issued (上傳時間) | 2-Sep-2015 17:06:23 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/78211 | - |
| dc.description.abstract (摘要) | 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. | |
| dc.format.extent | 5501059 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Derivatives, 15(2), 60-76 | |
| dc.title (題名) | Cross-Currency Equity Swaps in the BGM Model | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.3905/jod.2007.699046 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.3905/jod.2007.699046 | |
