About long-term cross-currency Bermuda swaption pricing
Year of publication: |
2020
|
---|---|
Authors: | Erkan, Bünyamin ; Prigent, Jean-Luc |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 56.2020, 1, p. 239-262
|
Subject: | Option pricing | Bermuda swaption | Cross-currency | Long-term derivative | Missing data | Calibration | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Volatilität | Volatility | Zinsderivat | Interest rate derivative | Swap | Währungsderivat | Currency derivative | Optionsgeschäft | Option trading |
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