Equity swaps in a LIBOR market model

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...

Full description

Saved in:
Bibliographic Details
Published in:The journal of futures markets 2007-09, Vol.27 (9), p.893-920
Main Authors: Wu, Ting-Pin, Chen, Son Nan
Format: Article
Language:English
Subjects:
Asset pricing
Calibration
Capital market
Equity
Equity swaps
Financial engineering
Interest rate swaps
Interest rates
LIBOR
Martingale
Mathematical finance
Stock prices
Studies
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by cdi_FETCH-LOGICAL-c4270-cefe28eb49f3bacbc49a788ece7fc66b06676569f9b5eb9294faa2d9485e76113
cites cdi_FETCH-LOGICAL-c4270-cefe28eb49f3bacbc49a788ece7fc66b06676569f9b5eb9294faa2d9485e76113
container_end_page 920
container_issue 9
container_start_page 893
container_title The journal of futures markets
container_volume 27
creator Wu, Ting-Pin
Chen, Son Nan
description 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. Jrl Fut Mark 27:893–920, 2007
doi_str_mv 10.1002/fut.20270
format article
fullrecord <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_36855903</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>36855903</sourcerecordid><originalsourceid>FETCH-LOGICAL-c4270-cefe28eb49f3bacbc49a788ece7fc66b06676569f9b5eb9294faa2d9485e76113</originalsourceid><addsrcrecordid>eNp1kE1Lw0AQhhdRsFYP_oMgInhI3a_sZo9a2loMFkqL4mXZbGchNW3abELtvzc16kHwNDA878vMg9AlwT2CMb1zddWjmEp8hDoEKxEqxfgx6hxWoWSEn6Iz75cYY6U47qDrwbbOqn3gd2bjg2wdmCAZP0ymwcqU71AFq2IB-Tk6cSb3cPE9u2g-HMz6j2EyGY3790lo-aHeggMaQ8qVY6mxqeXKyDgGC9JZIVIshBSRUE6lEaSKKu6MoQvF4wikIIR10U3buymLbQ2-0qvMW8hzs4ai9pqJOIoUZg149QdcFnW5bm7TlBAaxZTJBrptIVsW3pfg9KbMmrf2mmB9kKUbWfpLVsPetewuy2H_P6iH89lPImwTma_g4zfRWNNCMhnpl-eRfpuOXvlTIjRjn0P9eCY</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>211258237</pqid></control><display><type>article</type><title>Equity swaps in a LIBOR market model</title><source>International Bibliography of the Social Sciences (IBSS)</source><source>Business Source Ultimate</source><source>Wiley-Blackwell Read &amp; Publish Collection</source><creator>Wu, Ting-Pin ; Chen, Son Nan</creator><creatorcontrib>Wu, Ting-Pin ; Chen, Son Nan</creatorcontrib><description>This study extends the BGM (A. Brace, D. Gatarek, &amp; 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. Jrl Fut Mark 27:893–920, 2007</description><identifier>ISSN: 0270-7314</identifier><identifier>EISSN: 1096-9934</identifier><identifier>DOI: 10.1002/fut.20270</identifier><identifier>CODEN: JFMADT</identifier><language>eng</language><publisher>Hoboken: Wiley Subscription Services, Inc., A Wiley Company</publisher><subject>Asset pricing ; Calibration ; Capital market ; Equity ; Equity swaps ; Financial engineering ; Interest rate swaps ; Interest rates ; LIBOR ; Martingale ; Mathematical finance ; Stock prices ; Studies</subject><ispartof>The journal of futures markets, 2007-09, Vol.27 (9), p.893-920</ispartof><rights>2007 Wiley Periodicals, Inc.</rights><rights>Copyright Wiley Periodicals Inc. Sep 2007</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c4270-cefe28eb49f3bacbc49a788ece7fc66b06676569f9b5eb9294faa2d9485e76113</citedby><cites>FETCH-LOGICAL-c4270-cefe28eb49f3bacbc49a788ece7fc66b06676569f9b5eb9294faa2d9485e76113</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784,27923,27924,33222,33223</link.rule.ids></links><search><creatorcontrib>Wu, Ting-Pin</creatorcontrib><creatorcontrib>Chen, Son Nan</creatorcontrib><title>Equity swaps in a LIBOR market model</title><title>The journal of futures markets</title><addtitle>J. Fut. Mark</addtitle><description>This study extends the BGM (A. Brace, D. Gatarek, &amp; 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. Jrl Fut Mark 27:893–920, 2007</description><subject>Asset pricing</subject><subject>Calibration</subject><subject>Capital market</subject><subject>Equity</subject><subject>Equity swaps</subject><subject>Financial engineering</subject><subject>Interest rate swaps</subject><subject>Interest rates</subject><subject>LIBOR</subject><subject>Martingale</subject><subject>Mathematical finance</subject><subject>Stock prices</subject><subject>Studies</subject><issn>0270-7314</issn><issn>1096-9934</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2007</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><recordid>eNp1kE1Lw0AQhhdRsFYP_oMgInhI3a_sZo9a2loMFkqL4mXZbGchNW3abELtvzc16kHwNDA878vMg9AlwT2CMb1zddWjmEp8hDoEKxEqxfgx6hxWoWSEn6Iz75cYY6U47qDrwbbOqn3gd2bjg2wdmCAZP0ymwcqU71AFq2IB-Tk6cSb3cPE9u2g-HMz6j2EyGY3790lo-aHeggMaQ8qVY6mxqeXKyDgGC9JZIVIshBSRUE6lEaSKKu6MoQvF4wikIIR10U3buymLbQ2-0qvMW8hzs4ai9pqJOIoUZg149QdcFnW5bm7TlBAaxZTJBrptIVsW3pfg9KbMmrf2mmB9kKUbWfpLVsPetewuy2H_P6iH89lPImwTma_g4zfRWNNCMhnpl-eRfpuOXvlTIjRjn0P9eCY</recordid><startdate>200709</startdate><enddate>200709</enddate><creator>Wu, Ting-Pin</creator><creator>Chen, Son Nan</creator><general>Wiley Subscription Services, Inc., A Wiley Company</general><general>Wiley Periodicals Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>200709</creationdate><title>Equity swaps in a LIBOR market model</title><author>Wu, Ting-Pin ; Chen, Son Nan</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4270-cefe28eb49f3bacbc49a788ece7fc66b06676569f9b5eb9294faa2d9485e76113</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2007</creationdate><topic>Asset pricing</topic><topic>Calibration</topic><topic>Capital market</topic><topic>Equity</topic><topic>Equity swaps</topic><topic>Financial engineering</topic><topic>Interest rate swaps</topic><topic>Interest rates</topic><topic>LIBOR</topic><topic>Martingale</topic><topic>Mathematical finance</topic><topic>Stock prices</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Wu, Ting-Pin</creatorcontrib><creatorcontrib>Chen, Son Nan</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The journal of futures markets</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Wu, Ting-Pin</au><au>Chen, Son Nan</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Equity swaps in a LIBOR market model</atitle><jtitle>The journal of futures markets</jtitle><addtitle>J. Fut. Mark</addtitle><date>2007-09</date><risdate>2007</risdate><volume>27</volume><issue>9</issue><spage>893</spage><epage>920</epage><pages>893-920</pages><issn>0270-7314</issn><eissn>1096-9934</eissn><coden>JFMADT</coden><abstract>This study extends the BGM (A. Brace, D. Gatarek, &amp; 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. Jrl Fut Mark 27:893–920, 2007</abstract><cop>Hoboken</cop><pub>Wiley Subscription Services, Inc., A Wiley Company</pub><doi>10.1002/fut.20270</doi><tpages>28</tpages></addata></record>
fulltext fulltext
identifier ISSN: 0270-7314
ispartof The journal of futures markets, 2007-09, Vol.27 (9), p.893-920
issn 0270-7314
1096-9934
language eng
recordid cdi_proquest_miscellaneous_36855903
source International Bibliography of the Social Sciences (IBSS); Business Source Ultimate; Wiley-Blackwell Read & Publish Collection
subjects Asset pricing
Calibration
Capital market
Equity
Equity swaps
Financial engineering
Interest rate swaps
Interest rates
LIBOR
Martingale
Mathematical finance
Stock prices
Studies
title Equity swaps in a LIBOR market model
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-10T22%3A05%3A31IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Equity%20swaps%20in%20a%20LIBOR%20market%20model&rft.jtitle=The%20journal%20of%20futures%20markets&rft.au=Wu,%20Ting-Pin&rft.date=2007-09&rft.volume=27&rft.issue=9&rft.spage=893&rft.epage=920&rft.pages=893-920&rft.issn=0270-7314&rft.eissn=1096-9934&rft.coden=JFMADT&rft_id=info:doi/10.1002/fut.20270&rft_dat=%3Cproquest_cross%3E36855903%3C/proquest_cross%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-c4270-cefe28eb49f3bacbc49a788ece7fc66b06676569f9b5eb9294faa2d9485e76113%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=211258237&rft_id=info:pmid/&rfr_iscdi=true