PRICING AND CALIBRATION OF A CHOOSER FLEXIBLE CAP

DOI10.1142/S0217595910002661zbMath1231.91435MaRDI QIDQ3566770

Yasuhiro Tamba, Daisuke Ito, Masamitsu Ohnishi

Publication date: 10 June 2010

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingcalibrationHull-White modelLIBORchooser flexible cap

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance

Cites Work

• The Pricing of Options and Corporate Liabilities
• The Market Model of Interest Rate Dynamics
• Pricing Interest-Rate-Derivative Securities

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