Inflation derivatives - Reducing approximation error in LPI swaps - Brody, Crosby & Li (2008) introduced a quasi-analytical method to price limited price index (LPI) swaps with the Jarrow & Yildirim (2003) model. Their method works well for short-term contracts, but the approximation error for long maturities may be far from being negligible. In this article, the authors modify the Brody, Crosby & ...
| Year of publication: |
2011
|
|---|---|
| Authors: | Zhang, Joshua Xingzhi ; Mercurio, Fabio |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 24.2011, 4, p. 76-80
|