Simulating Bermudan interest rate derivatives (Q2725585)
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scientific article; zbMATH DE number 1619443
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulating Bermudan interest rate derivatives |
scientific article; zbMATH DE number 1619443 |
Statements
12 July 2001
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Markov chain approximation
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caplets
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Bermudan interest rate
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0.8483721
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0.8443867
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0.8413495
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0.8393236
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0.8387105
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0.8369608
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0.8352353
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Simulating Bermudan interest rate derivatives (English)
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