This paper considers the pricing of contingent claims involved in two new swaps invented by Chinese entrepreneurs, the equity-for-guarantee swap (EGS) and the option-for-guarantee swap (OGS), when the cash flow of a firm that enters into the swaps follows a jump-diffusion process with jump sizes...

We study the problem of pricing contingent claims in the presence of uncertainty about the timing and the size of a jump in the price of the underlying. We characterize the price of the claim as the minimal solution of a constrained BSDE and derive a pricing PDE in the special case of a...

Under an incomplete market, we develop a utility-based pricing model for equity and contingent convertible bond (CCB) while the straight bond is priced by an equilibrium pricing method. We derive the semi-closed-form solutions of the utility-based prices of equity and CCB and the explicit...

Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analysed in the context of the Capital Asset Pricing Model (CAPM) and a Fama & French three-factor model where contracts are separated based on their maturities. Looking into 1 month; 6 months and 12 months contracts, we...