Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions

DOI10.1007/s10203-023-00401-5zbMath1530.91576OpenAlexW4378216001MaRDI QIDQ6067798

Lars Palapies

Publication date: 17 November 2023

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-023-00401-5

zbMATH Keywords

Laplace transformsstochastic processesBessel processesinterest rate modelsBermudan swaptions

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Stochastic integrals (60H05)

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