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References in periodicals archive ?
The Reserve Bank panel headed P G Apte in the report said interest rate options may be permitted both on the currency and derivatives segment of stock exchanges as well as in the OTC market.
Moreover, for interest rate options, the underlying asset price doesn't follow a geometric Brownian motion.
Second, contrary to Ritchken and Sankarasubramanian who test the sensitivity of interest rate options to volatility specification, we propose to test the effect of elasticity of the forward rate volatility on cap prices.
The value of most stand-alone options can be reasonably reliably measured without any conceptual problems because market prices exist for many types of interest rate options contracts.
The member's decision to convert to the long-term variable interest rate or to remain with the variable-rate program will ultimately depend upon the corresponding interest rate risks the member is willing to assume in order to achieve the savings associated with the lower variable interest rate option. Although each member with a variable rate loan(s) is faced with the same prospect of the variable rate increasing over time, but corresponding interest rate risks assumed by the members are not the same.
An empirical comparison of foward-rate and spot-rate models for valuing interest rate options. Journal of Finance, 54:269-305.
dollar interest rate options market, however, significant residual risks are concentrated among dealers, who have sold 50 percent more options to customers than they have purchased (Table 1, top panel).
Customers can opt for only one of the interest rate options. The special interest rate benefit will be applicable for customers opting to avail vehicle loan through following select finance companies/banks (Al Omaniya and Muscat Finance).
Customers can opt for only one of the interest rate options. Customers purchasing in cash, LPO and credit will not be eligible special interest rate benefit.
Euro$ interest rate options: heavy put liquidation was noted in the wake of the FOMC meeting, according to sources, which wasn't as hawkish as feared.
When a bank or insurance company deal with the risks resulting from interest rate options (and also with other simple options), they usually calibrate an interest rate model to certain liquid instruments of the interest rate market, price the options using such model, and use the model output to manage the options' risks (Brigo and Mercurio 2006, Dozsa and Janda 2017).
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