Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Ralf Korn; Qian Liang
| Year of publication: |
2014
|
|---|---|
| Authors: | Korn, Ralf ; Liang, Qian |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 17.2013/2014, 3, p. 87-110
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| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Swap | Zinsderivat | Interest rate derivative | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Corrigendum enth. in: Vol. 18.2015,3, S.129-133 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010366276