A comparison of single factor Markov-functional and multi factor market models (Q541589)
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scientific article; zbMATH DE number 5904985
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A comparison of single factor Markov-functional and multi factor market models |
scientific article; zbMATH DE number 5904985 |
Statements
A comparison of single factor Markov-functional and multi factor market models (English)
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7 June 2011
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Markov-functional model
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market model
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Bermudan swaption
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terminal correlation
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hedging
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greeks for callable products
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smile
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0.8490666
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0.8292204
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0.82670367
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0.82489306
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0.8238416
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