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1by Nicholas BurgessSubjects: “...European Swaption Pricing...”
Published 2018-02-01
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2“... and reasonable. In this paper, we constructed different portfolios consisting of standardized swaption...”
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3by Masutha, Ndinae Nico“... are explored. The first approach is to decompose the pricing of a European amortising swaption into a series...”
Published 2019
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Dissertation -
4“...碩士 === 東吳大學 === 財務工程與精算數學系 === 103 === Interest rate swaptions are important and efficient tools...”
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9“... the pricing formula of equity swaptions、caps、floors、variable notional principal and blended equity swap...”
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10by Cresswell, Wade“.... It is found that several caps and swaptions are trading at volatilities that differ significantly from...”
Published 2020
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15“..., pricing the interest rate derivatives, taking interest rate swaptions for example, to their sensitivity...”
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17“... of trading. Correspondingly, market interest in credit default swaptions (CDSwaptions) is growing. Assuming...”
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18by Jackson, Evan“...This dissertation aims to derive historically realised volatilities for swaptions of a long-term...”
Published 2017
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Dissertation -
19by Shibata, Michiru“...In this work, pricing models of corporate coupon-bonds and credit default swaptions are derivedand...”
Published 2007
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20“... (Longstaff, F., E. Schwartz, 2001) to evaluate the American interest rate swaptions. Before this approach...”
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