Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Kin-Boon Tang, Wen-Jie Zheng, Chao-Yang Lin, Shih-Kuei Lin
| Year of publication: |
2021
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|---|---|
| Authors: | Tang, Kin Boon ; Zheng, Wen-Jie ; Lin, Chao-Yang ; Lin, Shih-kuei |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 56.2021, p. 1-18
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| Subject: | Bermudan options | Callable accreting interest rate swap | Hull and White model | Least Squares Monte-Carlo | Zero callable bonds | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Zinsstruktur | Yield curve | Monte-Carlo-Simulation | Monte Carlo simulation | Swap | Zins | Interest rate | Kleinste-Quadrate-Methode | Least squares method | Anleihe | Bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101339 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012821303