Capped equity swaps under the double-jum
Capped equity swaps under the double-jump stochastic volatility model with stochastic interest rates
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Jia-Hau Guo
📂
Article
📅
2011
🏛
John Wiley and Sons
🌐
English
⚖ 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