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Swap pricing and hedging of general DCFs

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  • Elisa Luciano

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  • Elisa Luciano, 1998. "Swap pricing and hedging of general DCFs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 21(1), pages 73-95, June.
    • Handle: RePEc:spr:decfin:v:21:y:1998:i:1:p:73-95
    DOI: 10.1007/BF02735317
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    References listed on IDEAS

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    1. F. Beccacece & M. Calzi, 1991. "On the decomposition of stochastic discounted cash flows," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 14(2), pages 59-73, September.
    2. Farshid Jamshidian, 1994. "Hedging quantos, differential swaps and ratios," Applied Mathematical Finance, Taylor & Francis Journals, vol. 1(1), pages 1-20.
    3. Jarrow, Robert A. & van Deventer, Donald R., 1998. "The arbitrage-free valuation and hedging of demand deposits and credit card loans," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 249-272, March.
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