Pietersz, R.; Pelsser, A.A.J. - Erasmus Research Institute of Management (ERIM), ERIM … - 2005
We compare single factor Markov-functional and multi factor market models for hedging performance of Bermudan swaptions … also available on the ERIM website:
www.erim.eur.nl
A COMPARISON OF SINGLE FACTOR MARKOV-FUNCTIONAL
AND MULTI FACTOR …
RESEARCH IN MANAGEMENT
BIBLIOGRAPHIC DATA AND CLASSIFICATIONS
Abstract We compare single factor Markov-functional and …