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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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2021
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| الموضوعات: | |
| الوصول للمادة أونلاين: | 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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| المؤسسة: | Singapore Management University |
| اللغة: | English |