Arbeitspapier
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.
- Language
-
Englisch
- Classification
-
Wirtschaft
- Subject
-
cancellable note
derivative valuation
- Event
-
Geistige Schöpfung
- (who)
-
Xiao, Tim
- Event
-
Veröffentlichung
- (who)
-
ZBW - Leibniz Information Centre for Economics
- (where)
-
Kiel, Hamburg
- (when)
-
2022
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Xiao, Tim
- ZBW - Leibniz Information Centre for Economics
Time of origin
- 2022
Other Objects (12)
Generic substitution
Implementation in Generic Environments
Authorized Generic Entry prior to Patent Expiry: Reassessing Incentives for Independent Generic Entry
Authorized Generic Entry prior to Patent Expiry: Reassessing Incentives for Independent Generic Entry
Longitudinal analysis of generic substitution
Substitution Policy and Generic Competition
The analytics of seasonal migration
The analytics of seasonal migration
The growth and valuation of generic skills
The Generic Properties of Equilibrium Correction Mechanisms
A generic architecture for hybrid intelligent systems
NDC: The Generic Old-Age Pension Scheme
Generic substitution
Implementation in Generic Environments
Authorized Generic Entry prior to Patent Expiry: Reassessing Incentives for Independent Generic Entry
Authorized Generic Entry prior to Patent Expiry: Reassessing Incentives for Independent Generic Entry
Longitudinal analysis of generic substitution
Substitution Policy and Generic Competition
The analytics of seasonal migration
The analytics of seasonal migration
The growth and valuation of generic skills
The Generic Properties of Equilibrium Correction Mechanisms
A generic architecture for hybrid intelligent systems
NDC: The Generic Old-Age Pension Scheme
Generic substitution
Implementation in Generic Environments
Authorized Generic Entry prior to Patent Expiry: Reassessing Incentives for Independent Generic Entry
Authorized Generic Entry prior to Patent Expiry: Reassessing Incentives for Independent Generic Entry
Longitudinal analysis of generic substitution
Substitution Policy and Generic Competition
The analytics of seasonal migration
The analytics of seasonal migration
The growth and valuation of generic skills
The Generic Properties of Equilibrium Correction Mechanisms
A generic architecture for hybrid intelligent systems