Bermudan swaption model risk analysis : a local volatility approach
Juliusz Jabłecki
| Year of publication: |
September 2018
|
|---|---|
| Authors: | Jabłecki, Juliusz |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018, 2, p. 101-131
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| Subject: | Bermudan swaptions | local volatility | Cheyette model | model risk | exercise deferral premium | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Swap | Risikomanagement | Risk management | Risiko | Risk | Optionsgeschäft | Option trading | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2018.353 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011976669