๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

STOCHASTIC DEMAND AND THE EQUITY CAPITALIZATION RATE

โœ Scribed by MICHAEL S. LONG; GEORGE RACETTE


Book ID
111104946
Publisher
John Wiley and Sons
Year
1979
Tongue
English
Weight
724 KB
Volume
6
Category
Article
ISSN
0306-686X

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๐Ÿ“œ SIMILAR VOLUMES


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