Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
Year of publication: |
2002-05-09
|
---|---|
Authors: | Jensen, Malene Shin ; Svenstrup, Mikkel |
Institutions: | Ehrvervøkonomisk Institut, Institut for Økonomi |
Subject: | Bermudan Swaptions | Control Variates | Exercise Strategy | Primal-Dual Algorithm | Stochastic Volatility |
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