Jensen, Malene Shin; Svenstrup, Mikkel - Ehrvervøkonomisk Institut, Institut for Økonomi - 2002
This paper concerns the problem of valuing Bermudan swaptions in <p> a Libor market model. In particular we consider various efficiency improvement <p> techniques for a Monte Carlo based valuation method. We <p> suggest a simplification of the Andersen (2000) exercise strategy and find <p> it to be much...</p></p></p></p>