Main category
Economics (General Management)
Abstract
A model is developed for pricing a swap with better of cliquet option. The floating amount payer makes semi-annual payments based on USD-LIBOR-BBA minus a spread. The fixed rate payer makes a single payment at swap maturity based on the arithmetic average of the S&P 500 Index price over certain pre-specified windows of ten consecutive trading days.
Further reading
https://ia601605.us.archive.org/14/items/betterOfCliquet/betterOfCliquet.pdf
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