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- W4241821978 abstract "This chapter reviews a range of different option structures and option pricing. It also discusses the terminology and pricing of swaptions, especially when embedded in swaps such as extendible and retractable, and explores the relationship between cap and swaption volatility with some examples. The chapter discusses the SABR model, which is probably the most popular for modelling and interpolating smile surfaces. The concepts of par and forward volatilities are introduced, and various approaches for transforming between them discussed. The chapter explains different forms of caps, floors and collars including examples of digital and embedded swap structures and concludes with a brief section on FX options, looking at their pricing and replication." @default.
- W4241821978 created "2022-05-12" @default.
- W4241821978 date "2012-01-02" @default.
- W4241821978 modified "2023-09-26" @default.
- W4241821978 title "OTC Options" @default.
- W4241821978 doi "https://doi.org/10.1002/9781119206224.ch10" @default.
- W4241821978 hasPublicationYear "2012" @default.
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