Pricing models of equity swaps
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Ming-Chieh Wang; Szu-Lang Liao
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Article
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2003
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John Wiley and Sons
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English
β 196 KB
## Abstract This article provides a generalized formula for pricing equity swaps with constant notional principal when the underlying equity markets and settlement currency can be set arbitrarily. To derive swap values using the riskβneutral valuation method, the swap payment is replicated at each