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Paper / 2023SMQ / 207772678302835
Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts
Huansang Xu / Marek Rutkowski / Ruyi Liu
derivatives / financial engineeringResource overview

Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts

Paper2023

by Huansang Xu, Marek Rutkowski, Ruyi Liu

Tags
derivativesfinancial engineeringoption pricingoptions hedging

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

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  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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