Pricing swaptions under multifactor Gaussian HJM models (Q2927950)
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scientific article; zbMATH DE number 6365992
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing swaptions under multifactor Gaussian HJM models |
scientific article; zbMATH DE number 6365992 |
Statements
5 November 2014
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Gaussian HJM multifactor models
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European-style swaptions
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conditioning approach
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rank-1 approximation
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lognormal approximation
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stochastic duration
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Edgeworth expansion
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hyperplane approximation
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low-variance martingale approximation
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Pricing swaptions under multifactor Gaussian HJM models (English)
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