Frank Sengers

VU University Amsterdam

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

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Scholarly Papers (1)

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Cash-Settled Swaptions: A New Pricing Model

Number of pages: 13 Posted: 27 Sep 2017 Last Revised: 18 Jul 2019
Raoul Pietersz, Frank Sengers and Matteo Michielon
ABN AMRO, VU University Amsterdam and ABN AMRO Bank N.V.
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Abstract:

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Cash-Settled Swaption, Zero-Wide Collar, Black Model, Bachelier Model, SABR, Shifted Log-Normal