Suppose pricing is conducted with a one-factor short rate model. Use the Jamshidian-decomposition to compute the generic

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Suppose pricing is conducted with a one-factor short rate model. Use the Jamshidian-decomposition to compute the generic price of a receiver swaption, expiring at T₀, with tenor structure t < T₀, . . . , T_N and Δt = T_n − T_n−1.

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 10:11 AM

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Suppose pricing is conducted with a one-factor short rate model. Use the Jamshidian-decomposition to compute the generic

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The Jam sh idian dec om position of the price of a receiver s...View the full answer

A First Course in Quantitative Finance

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