Exercise . Show the parity (.). Show that a payer swaption and a receiver swaption (with identical

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Exercise . Show the parity (.). Show that a payer swaption and a receiver swaption (with identical terms) will have identical prices, if the exercise rate of the contracts is equal to the forward swap rate L˜ δ,T

t .

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Fixed Income Modelling

ISBN: 978-0198716440

1st Edition

Authors: Claus Munk

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Question Posted: Oct 29, 2024 09:01 AM

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Exercise . Show the parity (.). Show that a payer swaption and a receiver swaption (with identical

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Fixed Income Modelling

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