The Value of a Two-Sided Real Swaption
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@Article{JMS-55-306,
author = {Fang , Nengsheng and Liao , Caixiu},
title = {The Value of a Two-Sided Real Swaption},
journal = {Journal of Mathematical Study},
year = {2022},
volume = {55},
number = {3},
pages = {306--326},
abstract = {
In this paper we establish a mathematical model for two-sided matching swaption problems in real world. We find a necessary matching condition of the two-sided swaption and deduce analytical formulations of the swaptions in virtue of pricing kernel methods. Also we explore the optimal exercise boundary and properties of the swaptions for investment decision making.
}, issn = {2617-8702}, doi = {https://doi.org/10.4208/jms.v55n3.22.06}, url = {http://global-sci.org/intro/article_detail/jms/20978.html} }
TY - JOUR
T1 - The Value of a Two-Sided Real Swaption
AU - Fang , Nengsheng
AU - Liao , Caixiu
JO - Journal of Mathematical Study
VL - 3
SP - 306
EP - 326
PY - 2022
DA - 2022/09
SN - 55
DO - http://doi.org/10.4208/jms.v55n3.22.06
UR - https://global-sci.org/intro/article_detail/jms/20978.html
KW - Real option, swaption, two-sided matching, optimal exercise boundary.
AB -
In this paper we establish a mathematical model for two-sided matching swaption problems in real world. We find a necessary matching condition of the two-sided swaption and deduce analytical formulations of the swaptions in virtue of pricing kernel methods. Also we explore the optimal exercise boundary and properties of the swaptions for investment decision making.
Nengsheng Fang & Caixiu Liao. (2022). The Value of a Two-Sided Real Swaption.
Journal of Mathematical Study. 55 (3).
306-326.
doi:10.4208/jms.v55n3.22.06
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