Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/262367 
Authors: 
Year of Publication: 
2022
Publisher: 
ZBW - Leibniz Information Centre for Economics, Kiel, Hamburg
Abstract: 
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.
Subjects: 
cancellable note
derivative valuation
Document Type: 
Working Paper

Files in This Item:
File
Size
322.78 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.