๐”– Bobbio Scriptorium
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Interest rate swaps in an agency theoretic model with uncertain interest rates

โœ Scribed by Larry D. Wall


Book ID
116134664
Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
893 KB
Volume
13
Category
Article
ISSN
0378-4266

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Capped equity swaps under the double-jum
โœ Jia-Hau Guo ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 257 KB

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 exampl