Show that the price of a payer swaption minus the price of a receiver swaption is equal

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Show that the price of a payer swaption minus the price of a receiver swaption is equal to the price of a forward swap.

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An Introduction to the Mathematics of Financial Derivatives

ISBN: 978-0123846822

3rd edition

Authors: Ali Hirsa, Salih N. Neftci

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Question Posted: Apr 29, 2016 03:45 PM

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Show that the price of a payer swaption minus the price of a receiver swaption is equal

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Let T be the expiration date of the swaption and 1 N be the s...View the full answer

An Introduction to the Mathematics of Financial Derivatives

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