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- W2255016892 abstract "In this article we provide a valuation formula for a quanto swaption, the interest rate equivalent of the well known equity spread option. A quanto swaption gives the owner of the option the right to enter into a quanto swap in which he has to make payments in the domestic currency determined by the domestic swap rate. In return he receives payments, also in the domestic currency, but these latter payments are determined by a foreign swap rate. Using the recently developed theory of valuing interest rate derivatives under a forward swap measure, we show that a quanto swaption can be valued with a variation of Margrabe's exchange option formula, modified by the use of a quanto forward rate." @default.
- W2255016892 created "2016-06-24" @default.
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- W2255016892 date "1998-05-06" @default.
- W2255016892 modified "2023-09-28" @default.
- W2255016892 title "Arbitrage Free Pricing of Quanto Swaptions" @default.
- W2255016892 hasPublicationYear "1998" @default.
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