Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Pricing swaptions on amortising swaps
In this dissertation, two efficient approaches for pricing European options on amortising swaps are explored. The first approach is to decompose the pricing of a European amortising swaption into a series of discount bond options, with an assumption that the interest rate follows a one-factor affine...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
African Institute of Financial Markets and Risk Management
2019
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
Similar Items: Pricing swaptions on amortising swaps
- Break-even volatility for caps, floors and swaptions
- Historically implied swaption skews using non-parametric methods
- Volatility transformation in a multi-curve setting applied to caps and swaptions
- Calibrating the LIBOR market model to swaptions with an extension for illiquidity in South Africa
- Pricing and hedging variance swaps using stochastic volatility models
- Estimating credit default swap spreads from equity data