Pietersz, R.; Pelsser, A.A.J. - Erasmus Research Institute of Management (ERIM), ERIM … - 2005
,
risicomanagement
Free keywords Markov-functional model, market model, Bermudan swaption, terminal correlation, hedging,
Greeks for …, Bermudan swaption,
terminal correlation, hedging, Greeks for callable products, smile
JEL Classification: G13
1 Introduction … log-normal
model, we only need to specify correlation. We will call their correlation the
terminal correlation. A novel …