Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Swaption Valuation"'
Autor:
David Lee
A variance swap is an instrument which allows investors to trade future realized (historical) volatility against current implied volatility. The Variance Swap pays the difference between observed variance and a strike variance, possibly subject to a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::743389b501eb5dca1bb6e335cfa42e67
Autor:
David Lee
A Bermudan swaption is an option that gives the owner the right to enter a swap at each predetermined date in the exercise schedule.
https://ia903404.us.archive.org/20/items/ir-bermudan-28/IrBermudan-archive.pdf
https://ia903404.us.archive.org/20/items/ir-bermudan-28/IrBermudan-archive.pdf
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::01bc337488e9fc3857d3f5844a8ead29
Autor:
David Lee
An interest rate Bermudan swaption gives the holder the right but not the obligation to enter an interest rate swap at predefined dates. It is one of the fundamental ways for an investor to enter a swap. Comparing to regular swaptions, Bermudan swapt
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3510f902b4b1cb3f676d7cfd55cc6b60
Publikováno v:
International Journal of Financial Engineering. :1750015
The estimation of partial derivatives of the price in respect to the main financial variables, called Greeks, is an essential task for a trader in order to understand the sensitivity of a derivative to the input of pricing model. The study of the lev
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9695975211a3f3d81984b000a0b2c5a8
https://doi.org/10.1142/s2424786317500153
https://doi.org/10.1142/s2424786317500153
