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On the suboptimality of single-factor exercise strategies for Bermudan swaptions
Svenstrup, Mikkel - In: Journal of financial economics 78 (2005) 3, pp. 651-684
Persistent link: https://www.econbiz.de/10003228840
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Valuation of path-dependent interest rate derivatives in a finite difference setup
Svenstrup, Mikkel - 2002
Persistent link: https://www.econbiz.de/10001746661
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Efficient control variates and strategies for Bermudan swaptions in a LIBOR market model
Jensen, Malene Shin; Svenstrup, Mikkel - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 20-33
Persistent link: https://www.econbiz.de/10003010725
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Efficient control variates and strategies for Bermudan swaptions in a libor market model
Jensen, Malene Shin; Svenstrup, Mikkel - 2002
Persistent link: https://www.econbiz.de/10001746714
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Efficient control variates and strategies for Bermudean swaptions in a Libor market model
Shin Jensen, Malene (contributor);  … - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748910