Drift-Free Simulation methods for pricing cross-market derivatives with LIBOR Market Model

DOI10.1142/9789814436434_0010zbMath1275.91147OpenAlexW2482060969MaRDI QIDQ2849681

Carlos Vázquez, María R. Nogueiras, Marta Pou, José Lúis Fernandez Perez

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814436434_0010

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A new parameterization for the drift-free simulation in the Libor market model

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