A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model (Q5489324)
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scientific article; zbMATH DE number 5057349
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model |
scientific article; zbMATH DE number 5057349 |
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A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model (English)
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25 September 2006
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Bermudan swaption
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HJM one-factor model
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Hull-White model
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explicit formula
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numerical integration
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