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On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
Moreno, Manuel; Navas, Javier F. - In: Review of derivatives research 6 (2003) 2, pp. 107-128
Persistent link: https://www.econbiz.de/10001857659
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Valuation of Caps and Swaptions under a Stochastic String Model
Bueno-Guerrero, Alberto - 2015
We develop a Gaussian stochastic string model that provides closed-form expressions for the prices of caps and swaptions that, under certain conditions, reduce to Black (1976) formulas. We also propose a stochastic string LIBOR market model that generalizes the models of Brace et al. (1997) and...
Persistent link: https://www.econbiz.de/10013033557
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On the robustness of Least-Squares Monte Carlo (LSM) for pricing American derivatives
Moreno, Manuel (contributor); Navas, Javier F. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001578818