CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL (Q3304221)

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CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL
scientific article

    Statements

    title
    CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL (English)
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    author
    Raoul Pietersz
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    Frank Sengers
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    Matteo Michielon
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    publication date
    5 August 2020
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    zbMATH Keywords
    cash-settled swaption
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    zero-wide collar
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    Black model
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    Bachelier model
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    SABR
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    shifted log-normal
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    Identifiers

    zbMATH DE Number
    7228498
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