Published December 24, 2022
| Version v1
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Two Way Return Capped Accumulated Return Call Option
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Description
We developed and implemented a pricing model for capped-accumulated-return-call (CARC) with two features: two-way-return and splitting payoff.
Notes
https://ia601500.us.archive.org/4/items/liborSwapModel/liborSwapModel.pdf
Files
TwoWayCarc.pdf
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(46.9 kB)
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