Derivatives

Using The Black-Scholes Model To Price Floorlets

August 27, 2021
Finance

Term Repo

August 28, 2021

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A variant on cancellable credit default swap where the protection buyer has the right to unwind the swap contract at any time or on a specific date before expiration. The swap structure can be split into its basic components, literally a credit default swap (CDS) and an embedded receiver default swaption, with corresponding strike price and exercise date.

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