Arbitrage-Free Construction of the Swaption Cube

In this paper we look at two areas in the interest rate options market where arbitrage could be hiding. In the first section we derive a no-arbitrage condition for swaption prices with complementary expiry dates and tenors within the swaption cube. In the second section we propose an alternative European option approximation for the widely used SABR dynamics that reduces the possibility of arbitrage for long maturities and low strikes

MoreLess

Year of publication:	[2009]
Authors:	Johnson, Simon
Other Persons:	Nonas, Bereshad (contributor)
Publisher:	[2009]: [S.l.] : SSRN

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 5, 2009 erstellt
Other identifiers:	10.2139/ssrn.1330869 [DOI]
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C5 - Econometric Modeling ; C6 - Mathematical Methods and Programming
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012719679