Generic Cancellable Note Analytics

Tim Xiao

EconStor Preprints from ZBW - Leibniz Information Centre for Economics

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 pricing cancellable derivatives. It computes the cancellation probability, fair value, and risk of a cancellable note.

Keywords: cancellable note; derivative valuation (search for similar items in EconPapers)
Date: 2022
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https://www.econstor.eu/bitstream/10419/262367/1/cancellationDerivatives.pdf (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:esprep:262367

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