J. Lars Kirkby. Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation. European Journal of Operational Research, 305(2):961-978, 2023. [doi]
@article{Kirkby23,
title = {Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation},
author = {J. Lars Kirkby},
year = {2023},
doi = {10.1016/j.ejor.2022.05.044},
url = {https://doi.org/10.1016/j.ejor.2022.05.044},
researchr = {https://researchr.org/publication/Kirkby23},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {305},
number = {2},
pages = {961-978},
}