A comparison of single factor Markov-functional and multi factor market models
| Year of publication: |
2010
|
|---|---|
| Authors: | Pietersz, Raoul ; Pelsser, Antoon |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 13.2010, 3, p. 245-272
|
| Publisher: |
Springer |
| Subject: | Markov-functional model | Market model | Bermudan swaption | Terminal correlation | Hedging | Greeks for callable products | Smile |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008673723