On the suboptimality of single-factor exercise strategies for Bermudan swaptions
Year of publication: |
2005
|
---|---|
Authors: | Svenstrup, Mikkel |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 78.2005, 3, p. 651-684
|
Subject: | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation |
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