Henrard, Marc - In: Applied Mathematical Finance 13 (2006) 1, pp. 1-18
Leveraging the explicit formula for European swaptions and coupon-bond options in the HJM one-factor model, a semi-explicit formula for 2-Bermudan options (also called Canary options) is developed. The European swaption formula is extended to future times. So equipped, one is able to reduce the...