Year: 2022
Author: Nengsheng Fang, Caixiu Liao
Journal of Mathematical Study, Vol. 55 (2022), Iss. 3 : pp. 306–326
Abstract
In this paper we establish a mathematical model for two-sided matching swaption problems in real world. We find a necessary matching condition of the two-sided swaption and deduce analytical formulations of the swaptions in virtue of pricing kernel methods. Also we explore the optimal exercise boundary and properties of the swaptions for investment decision making.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jms.v55n3.22.06
Journal of Mathematical Study, Vol. 55 (2022), Iss. 3 : pp. 306–326
Published online: 2022-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 21
Keywords: Real option swaption two-sided matching optimal exercise boundary.