THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM (Q5411985)
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scientific article; zbMATH DE number 6288560
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM |
scientific article; zbMATH DE number 6288560 |
Statements
THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM (English)
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25 April 2014
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LIBOR market model
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Brownian bridge
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callable range accrual
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displaced diffusion
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Greeks
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