THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM
Year of publication: |
2014
|
---|---|
Authors: | BEVERIDGE, CHRISTOPHER ; JOSHI, MARK |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 17.2014, 01, p. 1450001-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | LMM | BGM | Callable range accrual | displaced-diffusion | Greeks | pathwise |
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