-
Equity Asian Swap Model
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Options (Finance), Options (Finance)--Valuation
- Item Type:
- Report
- Tag(s):
- equity option, Asian option, option valuation
- Permanent URL:
- https://doi.org/10.17613/2kb6-kz92
- Abstract:
- A model is present for pricing an Equity Asian Swap. One leg of the swap pays the return from a monthly average of the S&P TSE60 index less a constant strike. The payment from the other leg is similarly defined for a stock. The payments are tied to notional amounts that are specified according to two pre-determined monthly schedules. Most of the swaps have the same structure and are only distinguished by the initial index and stock levels, and by the notional amounts.
- Notes:
- https://vixra.org/pdf/2306.0163v1.pdf https://vixra.org/abs/2306.0163
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 4 weeks ago
- License:
- All-Rights-Granted
equityasianswap.pdf