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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...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2019
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