Bounding Bermudan swaptions in a swap-rate market model

DOI10.1088/1469-7688/2/5/306zbMath1405.91628OpenAlexW2094009974MaRDI QIDQ4646800

Mark S. Joshi, Jochen Theis

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/2/5/306

zbMATH Keywords

Bermudan swaptionsboundary parametrizationswap-rate market model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies

Cites Work

• Unnamed Item
• LIBOR and swap market models and measures
• Pricing American Options: A Duality Approach
• Monte Carlo valuation of American options

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