A unified market model for swaptions and constant maturity swaps

A unified market model for swaptions and constant maturity swaps

Internal-rate-of-return (IRR) settled swaptions are the main interest rate volatility instruments in the European interest rate markets. Industry practice is to use an approximation formula to price IRR swaptions based on Black model, which is not arbitrage-free. We formulate a unified market model...

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Bibliographic Details
Main Authors: TEE, Chyng Wen, KERKHOF, Jeroen
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
Interest rate marketswaptionsconstant maturity swapsderivative valuationstochastic volatility modelsfixed income marketinterest rate models
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6868
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7867/viewcontent/SSRN_id3441544.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/6868
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7867/viewcontent/SSRN_id3441544.pdf

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