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by Thomas Gustavsson May 13th, 1997. Abstract: This paper shows that the market standard swaption pricing formula is correct provided we choose the forward annuity as the numeraire asset and assume that the equilibrium forward swap rate is log-normally distributed. This paper was written while the author was visiting Cambridge. I want to thank Dr. Carlos Sin and Dr. Riccardo Rebonato for helpful discussions

Author

Thomas Gustafsson

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EN