Abstract
This note shows how to value cash settled swaptions using the replication formula normally used for valuing European type of options, in which the pay-off is given as a function of the underlying swap rate. A section showing how to do exact calculations of sensitivity key-figures from a stochastic volatility model with auto differentiation is also included. Nothing new is presented, this note simply demonstrates how to put things together in order to develop a framework for valuing cash settled swaptions.
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