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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2021
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| 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 |