𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Options on normal underlyings with an application to the pricing of survivor swaptions

✍ Scribed by Paul Dawson; Kevin Dowd; Andrew J. G. Cairns; David Blake

Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
136 KB
Volume
29
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

Survivor derivatives are gaining considerable attention in both the academic and practitioner communities. Early trading in such products has generally been confined to products with linear payoffs, both funded (bonds) and unfunded (swaps). History suggests that successful linear payoff derivatives are frequently followed by the development of option‐based products. The random variable in the survivor swap pricing methodology developed by Dowd et al [2006] is (approximately) normally, rather than lognormally, distributed and thus a survivor swaption calls for an option pricing model in which the former distribution is incorporated. We derive such a model here, together with the Greeks and present a discussion of its application to the pricing of survivor swaptions. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:757–774, 2009

📜 SIMILAR VOLUMES

The design and pricing of fixed- and mov
The design and pricing of fixed- and moving-window contracts: An application of Asian-Basket option pricing methods to the hog-finishing sector
✍ Renyuan Shao; Brian Roe 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 211 KB 👁 1 views

## Abstract Asian‐Basket‐type moving‐window contracts are an increasingly used risk‐management tool in the North American hog sector. The moving‐window contract is decomposed into a portfolio of a long Asian‐Basket put and a short Asian‐Basket call option. A projected break‐even price is used to de

On the singularities of Green's formula
On the singularities of Green's formula and its normal derivative, with an application to surface-wave–body interaction problems
✍ S. A. Yang 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 206 KB 👁 2 views

The paper presents the non-singular forms of Green's formula and its normal derivative of exterior problems for three-dimensional Laplace's equation. The main advantage of these modi"ed formulations is that they are amenable to solution by directly using quadrature formulas. Thus, the conventional b

On the Minimality of Anick's Resolution,
On the Minimality of Anick's Resolution, with Application to an Algebra of Cohomology Operations
✍ William M. Singer 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 167 KB

INTRODUCTION AND STATEMENTS OF RESULTS ## w x Let G be an augmented algebra over a field k. In his paper 1 , Anick supposes given a set S of generators for G, together with a grading e: S ª Z q and a total orderfor S, such that S is well ordered in each 0 Ä 4 degree. We will refer to the triple S

The performance of heteroskedasticity an
The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three-factor Fama–French asset-pricing model
✍ Surajit Ray; N. E. Savin 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 147 KB 👁 1 views

## Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama–French t

On the Intersection of Double Cosets in
On the Intersection of Double Cosets in Free Groups, with an Application to Amalgamated Products
✍ R.G. Burns; S.-M. Kam 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 244 KB

It is shown that if H, K are any finitely generated subgroups of a free group F and U is any cyclic subgroup of F, then any intersection Hg U l Kg U of double 1 2 Ž . cosets contains only a finite number of double cosets H l K gU, and an explicit upper bound for this number is given in terms of the