CMS Cliquet Option Model
Year: 2022
Type: article
Abstract: A CMS cliquet option has two legs: One leg of this deal is based on (regular) floating rates. The other leg links to CMS swap rates. Due to the “set-in-arrear” feature in the structured leg, convexity and timing adjustments have to be considered.
Author: Lee, David
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W6950455125
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