Valuation of cross-currency Bermudan swaptions (Q2886012)
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scientific article; zbMATH DE number 6040841
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of cross-currency Bermudan swaptions |
scientific article; zbMATH DE number 6040841 |
Statements
1 June 2012
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Bermudan swaption
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Hull-White model
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least square Monte Carlo approach
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0.88608205
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0.8815562
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0.8747783
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0.8743051
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0.86967665
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0.8608023
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0.8598449
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Valuation of cross-currency Bermudan swaptions (English)
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