Introduction to Interest Rate Options Harvard Case Solution & Analysis

Introduction to Interest Rate Options Case Solution

This note illustrates the derivatives of the interest rate, floors covering, swaptions and lastly, caps. This is all done through an approach which focuses on equity puts, calls and stocks. Just like with calls and puts on equity, the put-call relationship is shown to exist between limits, floors, and swaps. Draws on pupils' knowledge of the put-call parity in an equity context.

PUBLICATION DATE: May 19, 2005 PRODUCT #: 205112-HCB-ENG

This is just an excerpt. This case is about FINANCE & ACCOUNTING

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