An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Year of publication: |
September 2016
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Authors: | Joshi, Mark S. ; Zhu, Dan |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016, 1, p. 113-137
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Subject: | Monte Carlo simulation | Bermudan products | exercise strategy | Hessian | measure changes | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Swap | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve |
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