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Pricing Swaption with BDT model

HorB

HorB

Joined
11/1/15
Messages
2
Points
11
Hello everyone,

i'm trying to complete the first part of the on-line course on RiskManagement (Coursera Platform) offered by the Columbia University. My doubt regards the pricing of the swaption using binomial tree with BDT model calibration.

I attach the file with my calculus; has everyone done this course
 

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  • QuestionI_quizWeek6.xlsm
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