Equity quantile upper and lower swaps

DOI10.1080/14697688.2011.630327MaRDI QIDQ2893071zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

equity pricesquantitative financeswap pricingquantitative finance techniques

Mathematics Subject Classification ID

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

Recommendations

• Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy
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• On equi-derivatives
• Swaption pricing in affine and other models

Cites work

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

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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