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Pricing Equity Swaps in an Economy with Jumps - MaRDI portal

Pricing Equity Swaps in an Economy with Jumps (Q3176521)

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Pricing Equity Swaps in an Economy with Jumps
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    title
    Pricing Equity Swaps in an Economy with Jumps (English)
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    author
    Mia Hinnerich
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    publication date
    20 July 2018
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    Mathematics Subject Classification ID
    91G20
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    60G55
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    60G44
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    zbMATH DE Number
    6909202
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    zbMATH Keywords
    derivatives pricing
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    equity swaps
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    convexity corrections
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    marked point processes
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    martingales
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