Gan, Bing; Guan, Eric; Poon, Ser-Huang - Manchester Business School - 2008
This paper tests the co-terminal swap market model (SMM) pricing and hedging performance onBermudan swaptions. To our … using a collection of forward swap rates arealso shown in detail. The Longstaff-Schwartz least square method is used to …-terminal forward swap rate, the model can match the market quoted European swaption priceperfectly. It is noted that, for the SMM, one …