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Valuation of a swap where both parties can cancel (not settle at market) with accrual method instead of present-value?

I have come up with the following approach based on methods used for American options. For that kind of problems, it is useful to assume a discrete termination schedule, apply a backward induction ...
Daneel Olivaw's user avatar
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Conceptual problem with risk neutrality-What is a 'risk-neutral world', exactly?

One definition of Risk Neutral is where the marginal utility is constant, i.e., u'(x) = c, for all x. A direct consequence of this is that the stochastic discount factor $m$ $(:=\beta\frac{u'(c_{t+1})}...
EYC.CHANG's user avatar

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