A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach (Q4449553)
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scientific article; zbMATH DE number 2040337
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach |
scientific article; zbMATH DE number 2040337 |
Statements
A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach (English)
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11 February 2004
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LIBOR market model
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European payer swaptions
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approximate pricing formula
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asymptotic expansion
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variance reduction method
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option valuation problems
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Monte Carlo simulation
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volatility skews
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log-normal volatility function
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modified volatility function
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