We present a semi-static replication algorithm for Bermudan swaptions under an affine, multi-factor term structure … through several numerical experiments. The results indicate that the semi-static replication approaches the LSM benchmark with … basis point accuracy and provides tight, efficient error bounds. For in-model simulations, the semi-static replication …

examined within each of these settings. The author verifies the independence of the static replication on underlying processes. …

denoted as a static replication method ? its aim is to create a static basket of simple assets that will replicate the option …