Equity quantile upper and lower swaps

DOI10.1080/14697688.2011.630327zbMath1241.91117OpenAlexW1981384103MaRDI QIDQ2893071

Martijn R. Pistorius, Dilip B. Madan

Publication date: 25 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.630327

zbMATH Keywords

quantitative financeequity pricesswap pricingquantitative finance techniques

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The first-passage density of the Brownian motion process to a curved boundary
• Evaluation of the first-passage time probability to a square root boundary for the Wiener process
• The Variance Gamma Process and Option Pricing

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