Fast drift approximated pricing in the BGM model
Year of publication: |
2005-02-11
|
---|---|
Authors: | Pietersz, Raoul ; Pelsser, Antoon ; Regenmortel, Marcel van |
Institutions: | EconWPA |
Subject: | BGM model | predictor-corrector | Brownian bridge | Markov processes | separability | Feynman-Kac | Bermudan swaption |
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