The pricing and hedging of index amortizing rate swaps

Index amortizing rate (IAR) swaps have proved difficult to price because of the complexity of their embedded options. Since these options depend on the path of interest rates, pricing requires a model of interest rate movements. This article uses a simple interest rate model to illustrate the pricing and hedging of an IAR swap.

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Year of publication:	1993
Authors:	Fernald, Julia D.
Published in:	Quarterly Review. - Federal Reserve Bank of New York. - 1993, Win, v. 18, no. 4, p. 71-74
Publisher:	Federal Reserve Bank of New York
Subject:	Swaps (Finance) \| Options (Finance) \| Interest rates

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005706894