Pricing Equity Swaps in an Economy with Jumps

This article considers the pricing of equity swaps with constant notional principal in an incomplete market. The market is driven by a general marked point process as well as by a standard multidimensional Wiener process. We derive the swap values using martingale methods and the technique of convexity correction. Our results are consistent with the results of Liao amp; Wang (2003), but achieved in a different way, which enables us to extend their generalized formula for pricing equity swaps to the point process case