Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Patrik Karlsson (Department of Economics, Lund University Sweden), Shashi Jain (ING, Amsterdam, The Netherlands) and Cornelis W. Oosterlee (CWI-Centrum Wiskunde & Informatica Amsterdam, The Netherlands)
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Karlsson, Patrik ; Jain, Shashi ; Oosterlee, Cornelis Willebrordus |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 1, p. 1-22
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| Subject: | Applied mathematical finance | Bermudan swaptions | computational finance | derivative pricing models | interest rate modelling | LIBOR market model | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Zinsderivat | Interest rate derivative | Swap | Finanzmathematik | Mathematical finance | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786316500055 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011532753