A Payoff Consistent Approach to Cash-Settled Swaptions and Constant Maturity Swaps Replication

Author

Chyng Wen TEE, Singapore Management UniversityFollow
Jeroen Kerkhof

Publication Type

Working Paper

Publication Date

2013

Discipline

Business

Research Areas

Quantitative Finance

Citation

TEE, Chyng Wen and Kerkhof, Jeroen. A Payoff Consistent Approach to Cash-Settled Swaptions and Constant Maturity Swaps Replication. (2013).
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4471