Efficient control variates and strategies for Bermudan swaptions in a libor market model
Malene Shin Jensen and Mikkel Svenstrup
| Year of publication: |
2002
|
|---|---|
| Authors: | Jensen, Malene Shin ; Svenstrup, Mikkel |
| Publisher: |
Aarhus |
| Subject: | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve |
| Extent: | 35 S graph. Darst |
|---|---|
| Series: | Working paper. - Århus : [Department of Finance, Faculty of Business Administration, the Aarhus School of Business], ISSN 0907-6883, ZDB-ID 2951268-2. - Vol. 02.23 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. S. 31 - 32 Internetausg.: http://www.hha.dk/M̃SV/SimBer.pdf |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001746714