The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
Christopher Beveridge and Mark Joshi
| Year of publication: |
2014
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|---|---|
| Authors: | Beveridge, Christopher ; Joshi, Mark S. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 1, p. 1-47
|
| Subject: | LMM | BGM | Callable range accrual | displaced-diffusion | Greeks | pathwise | Griechenland | Greece | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010363971