Equity swaps in a LIBOR market model
โ
Ting-Pin Wu; Son Nan Chen
๐
Article
๐
2007
๐
John Wiley and Sons
๐
English
โ 278 KB
## 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