In the over-the-counter market, many options are written on average prices. For example, the payo... more In the over-the-counter market, many options are written on average prices. For example, the payoff at maturity for a one-year average sterling call option is the maximum of zero and the difference between the arithmetic daily exchange rate, averaged over some prespecified period and ...
... Charles W. Smithson is a Vice President at Continental Bank Chicago, IL. ... flows between th... more ... Charles W. Smithson is a Vice President at Continental Bank Chicago, IL. ... flows between the parties to the contract; in an interest rate swap, one party periodically pays a cash flow determined by a fixed interest rate and receives a cash flow determined by a floating interest rate. ...
In the over-the-counter market, many options are written on average prices. For example, the payo... more In the over-the-counter market, many options are written on average prices. For example, the payoff at maturity for a one-year average sterling call option is the maximum of zero and the difference between the arithmetic daily exchange rate, averaged over some prespecified period and ...
... Charles W. Smithson is a Vice President at Continental Bank Chicago, IL. ... flows between th... more ... Charles W. Smithson is a Vice President at Continental Bank Chicago, IL. ... flows between the parties to the contract; in an interest rate swap, one party periodically pays a cash flow determined by a fixed interest rate and receives a cash flow determined by a floating interest rate. ...
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