Cash-settled swaptions : a new pricing model
Raoul Pietersz, Frank Sengers and Matteo Michielon
| Year of publication: |
2020
|
|---|---|
| Authors: | Pietersz, Raoul ; Sengers, Frank ; Michielon, Matteo |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 4, p. 1-16
|
| Subject: | Cash-settled swaption | zero-wide collar | Black model | Bachelier model | SABR | shifted log-normal | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Swap |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024920500284 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012284596