Discretely monitored tenor varying exchange arrangements

Tanapan Tanpradist
Our subject area of research is Mathematical Finance. In this thesis, we price a novel form of barrier structure which is closely related to a swaption having a continuous time log-normal model, which is the underlying dynamic of the asset, a forward par swap rate. The new feature is where the barrier is monitored before and during the swap period. It is called ”Tenor Varying Barrier Swaption”. It means that even though the exercise date...
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