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Risks : open access journal
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A semi-static replication method for Bermudan
swaptions
under an affine multi-factor model
Hoencamp, Jori
;
Jain, Shashi
;
Kandhai, Drona
- In:
Risks : open access journal
11
(
2023
)
10
,
pp. 1-41
We present a semi-static replication algorithm for Bermudan
swaptions
under an affine, multi-factor term structure …
Persistent link: https://www.econbiz.de/10014391534
Saved in:
2
Rational savings account models for backward-looking interest rate benchmarks
Macrina, Andrea
;
Skovmand, David
- In:
Risks : open access journal
8
(
2020
)
1/23
,
pp. 1-18
enables the pricing in closed form of caplets,
swaptions
and futures written on the backward-looking interest rate benchmark. …
Persistent link: https://www.econbiz.de/10012203790
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