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fi lecture16 exotic options credit derivatives

fi lecture16 exotic options credit derivatives
fi lecture16 exotic options credit derivatives

fi lecture16 exotic options credit derivatives Interest-rate exotic options usually are – Path-dependent – Correlation-dependent – Time-dependent – Or a mix of these features • Path-dependent options: option payoffs are a function of the path that interest rates follow over the option life • Correlation-dependent options: option payoffs are based on the relationship between several […]

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fi lecture16 exotic options credit derivatives

fi lecture16 exotic options credit derivatives

Interest-rate exotic options usually are – Path-dependent – Correlation-dependent – Time-dependent – Or a mix of these features • Path-dependent options: option payoffs are a function of the path that interest rates follow over the option life • Correlation-dependent options: option payoffs are based on the relationship between several interest rates • Time-dependent options: the buyer has the right to choose an option characteristic as a function of time • Options can also be exotic because of the way they can be exercised – For example, a Bermudan option can be exercised on several specified dates until maturity

 

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  • عنوان مقاله : fi lecture16 exotic options credit derivatives
  • نوع فایل : PDF
  • حجم فایل : 220 کیلوبایت

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