Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions

Lars Palapies

Year of publication:	2023
Authors:	Palapies, Lars
Published in:	Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 46.2023, 2, p. 415-460
Subject:	Bermudan swaptions \| Bessel processes \| Interest rate models \| Laplace transforms \| Stochastic processes \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Swap \| Zinsstruktur \| Yield curve

freely available

Full text |

More access options

doi.org

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10014443750

A service of the