|
- UID
- 223379
- 帖子
- 277
- 主题
- 70
- 注册时间
- 2011-7-11
- 最后登录
- 2016-4-19
|
I just did a practice question that asked for the value of a reciever swaption. The $ amount was negative, but the answer was $0, since "The value of the receiver swaption is zero since the exercise rate is below the market rate."
That makes sense to me--I assume the swaption would just expire without exercise (and the holder would just lose his premium).
My question is this: in the same way that a swaption to the holder can either be positive or zero at a minimum, can the payoff/value to the writer be either negative or zero? In other words, if the writer "wins", it just means that the holder will not exercise so the max value to the writer of a swaption should always be zero?
Thanks for the help. |
|
发表于 2011-7-11 19:39
| 