Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Year of publication: |
March 2016
|
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Authors: | Karlsson, Patrik ; Jain, Shashi ; Oosterlee, Cornelis Willebrordus |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 1, p. 1-22
|
Subject: | Applied mathematical finance | Bermudan swaptions | computational finance | derivative pricing models | interest rate modelling | LIBOR market model | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Zinsderivat | Interest rate derivative | Swap | Finanzmathematik | Mathematical finance | Stochastischer Prozess | Stochastic process |
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