Generic Cancellable Derivative Model

David Lee ()
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David Lee: FinPricing

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Abstract: Many financial derivative products have cancellation provision. They usually have a regular leg and a cancellation leg. The cancellation leg can cancel the regular leg when a cancellation event occurs. This paper presents a generic model for representing and pricing cancellable derivatives. It computes the cancellation probability, fair value, and risk of a cancellable note.

Keywords: cancellable structured note; cancellation probability; derivatives valuation (search for similar items in EconPapers)
Date: 2022-08-10
Note: View the original document on HAL open archive server: https://hal.science/hal-03749503
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