Equity quantile upper and lower swaps

DOI10.1080/14697688.2011.630327zbMATH Open1241.91117OpenAlexW1981384103MaRDI QIDQ2893071FDOQ2893071

Authors: Dilip B. Madan, Martijn R. Pistorius 

Publication date: 25 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.630327

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zbMATH Keywords

equity pricesquantitative financeswap pricingquantitative finance techniques

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites Work

• The Variance Gamma Process and Option Pricing
• The first-passage density of the Brownian motion process to a curved boundary
• Evaluation of the first-passage time probability to a square root boundary for the Wiener process

Cited In (2)

• The value of the ‘swap’ feature in equity default swaps
• Pricing equity swaps in an economy with jumps

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