Serving the Quantitative Finance Community
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- tnauqtnauq
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cash settled swaptions
How is the industry dealing with European cash settled swaption now? Anybody had a try of the paper of "two collars and a free lunch"?
Re: cash settled swaptions
https://papers.ssrn.com/sol3/papers.cfm ... id=2686622How is the industry dealing with European cash settled swaption now? Anybody had a try of the paper of "two collars and a free lunch"?
Last edited by dicesare on May 2nd, 2017, 11:56 am, edited 1 time in total.
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- Martinghoul
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Re: cash settled swaptions
People just live with it... AFAIK, it's become a natural part of "market slippage".
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- tnauqtnauq
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Re: cash settled swaptions
Did you try to reproduce the results in the paper?https://papers.ssrn.com/sol3/papers.cfm ... id=2686622How is the industry dealing with European cash settled swaption now? Anybody had a try of the paper of "two collars and a free lunch"?