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Marc Henrard – 02/08/22

Quantcast – a Risk.net Cutting Edge podcast

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How to Price Cash Settlements Options With Collateralized Discounting?

The paper proposes a number of pricing methodologies for cash settles options with collateralized discounting. We're not going into details too deeply, we'll invite readers and listeners to check the paper. But without going too much into the mat, can you outline what are the main proposals that you include in the paper? Yeah. Maybe I will summarize it in one word, which is one that I used a little bit before, which is CMS. So if you have in your libraries CMS pricing, you can change it a little bit and get those type of products priced.

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