CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL

DOI10.1142/S0219024920500284zbMath1447.91182OpenAlexW3122395344MaRDI QIDQ3304221

Frank Sengers, Raoul Pietersz, Matteo Michielon

Publication date: 5 August 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500284

zbMATH Keywords

Bachelier modelSABRBlack modelcash-settled swaptionshifted log-normalzero-wide collar

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• A general version of the fundamental theorem of asset pricing
• ON CASH SETTLED IRR-SWAPTIONS AND MARKOV FUNCTIONAL MODELING

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