Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy

DOI10.1080/1350486042000297261zbMath1162.91370OpenAlexW2093401557MaRDI QIDQ5312582

Hsiao-Fen Yang, San-Lin Chung

Publication date: 1 September 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://ntur.lib.ntu.edu.tw/bitstream/246246/83595/1/21.pdf

zbMATH Keywords

term structure of interest ratesrisk-neutral valuationarbitrage-free pricing modelEquity swaps

Mathematics Subject Classification ID

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities

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