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Equity swaps in a LIBOR market model
Ting Pin Wu
, Son Nan Chen
Graduate Institute of Accounting
Research output
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Article
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peer-review
7
Scopus citations
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Keyphrases
Market Model
100%
Interbank
100%
Equity Default Swaps
100%
Interest Rate Models
50%
Calibration Method
25%
Practical Implementation
25%
Martingale Measure
25%
Stock Price Dynamics
25%
Economics, Econometrics and Finance
Interest Rate
100%
Pricing
50%
Stock Price
50%
Yield Curve
50%