Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Frank Sengers"'
Publikováno v:
International Journal of Theoretical and Applied Finance. 23:2050028
The market for cash-settled swaptions has changed its quotation conventions. Cash-settled zero-wide collars struck at the swap-settled forward have started trading at nonzero prices. Apart from full-fledged term-structure models, a simple arbitrage-f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6b3b3606914c18c223b49f42f58f105c
https://doi.org/10.1142/s0219024920500284
https://doi.org/10.1142/s0219024920500284
Publikováno v:
SSRN Electronic Journal.
The market for cash-settled swaptions has changed its quotation conventions. Cash-settled zero-wide collars struck at the swap-settled forward have started trading at non-zero prices. Apart from full- fledged term-structure models, a simple arbitrage
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8105f3651fb683cd7040abd2c13a1750
https://doi.org/10.2139/ssrn.3041228
https://doi.org/10.2139/ssrn.3041228