A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model
Year of publication: |
2006
|
---|---|
Authors: | Henrard, Marc |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 13.2006, 1, p. 1-18
|
Publisher: |
Taylor & Francis Journals |
Subject: | Bermudan swaption | HJM one-factor model | Hull-White model | explicit formula | numerical integration |
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