Generic Cancellable Note Analytics

Many financial derivative products have cancellation provision. They usually have a regular leg and a cancellation leg. The cancellation leg can cancel the regular leg when a cancellation event occurs. This paper presents a generic model for pricing cancellable derivatives. It computes the cancellation probability, fair value, and risk of a cancellable note.

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Year of publication:	2022
Authors:	Xiao, Tim
Publisher:	Kiel, Hamburg : ZBW - Leibniz Information Centre for Economics
Subject:	cancellable note \| derivative valuation

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Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	hdl:10419/262367 [Handle] RePEc:zbw:esprep:262367 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10013341446