CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL (Q3304221)
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scientific article; zbMATH DE number 7228498
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL |
scientific article; zbMATH DE number 7228498 |
Statements
CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL (English)
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5 August 2020
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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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0.86993396
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0.86781436
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0.8581704
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0.84334093
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0.83945316
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0.8369164
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0.8368444
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