CAPPED EQUITY SWAPS UNDER THE DOUBLE-JUMP STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATES

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DC Field	Value	Language
dc.contributor.author	Guo, Jia-Hau	en_US
dc.date.accessioned	2014-12-08T15:19:49Z	-
dc.date.available	2014-12-08T15:19:49Z	-
dc.date.issued	2011-04-01	en_US
dc.identifier.issn	0270-7314	en_US
dc.identifier.uri	http://dx.doi.org/10.1002/fut.20470	en_US
dc.identifier.uri	http://hdl.handle.net/11536/14050	-
dc.description.abstract	This study proposes a double-jump stochastic volatility model with stochastic interest rates to price capped equity swaps and other multi-period derivative securities. Closed-form solutions for capped equity swaps with a fixed or variable notional principle are derived. In addition, numerical examples are employed to analyze comparative statics properties, counterparts' risks, and the dynamics of the forward smile. (C) 2010 Wiley Periodicals, Inc. jrl Fut Mark 31:340-370, 2011	en_US
dc.language.iso	en_US	en_US
dc.title	CAPPED EQUITY SWAPS UNDER THE DOUBLE-JUMP STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATES	en_US
dc.type	Article	en_US
dc.identifier.doi	10.1002/fut.20470	en_US
dc.identifier.journal	JOURNAL OF FUTURES MARKETS	en_US
dc.citation.volume	31	en_US
dc.citation.issue	4	en_US
dc.citation.spage	340	en_US
dc.citation.epage	370	en_US
dc.contributor.department	資訊管理與財務金融系註：原資管所+財金所	zh_TW
dc.contributor.department	Department of Information Management and Finance	en_US
dc.identifier.wosnumber	WOS:000287223600002	-
dc.citation.woscount	0	-
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