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 … through several numerical experiments. The results indicate that the semi-static replication approaches the LSM benchmark with … basis point accuracy and provides tight, efficient error bounds. For in-model simulations, the semi-static replication …