Pricing Cancellation Product

David Lee

MPRA Paper from University Library of Munich, Germany

Abstract: This article describes a valuation framework to build most common kinds of cancellation schedules and cancellation evens. The model can price generic cancellation derivatives accurately. It is very useful for derivatives trading and risk management.

Keywords: cancellable structured note; derivatives valuation (search for similar items in EconPapers)
JEL-codes: C52 C58 C63 G12 G13 G17 (search for similar items in EconPapers)
Date: 2022-08-08
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:114147

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