June 2013
Intermediate to advanced
768 pages
21h 54m
English
Content preview from Financial Times Handbook of Financial Engineering, The, 3rd Edition
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13
OPTIONS – INTEREST RATE AND EXOTIC OPTIONS
13.1 Why interest rate options are different
13.4 Cancellable and extendible swaps
13.5 Pricing interest rate options
13.13 Price comparisons between exotic options
This chapter focuses on two further and important option topics – interest rate options and exotics. It starts by explaining why interest rate options are different from options on other underliers, and then goes on to show how strips of single-period options can be combined to create multi-period ...
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