Zobrazeno 1 - 10
of 370
pro vyhledávání: '"Bermudan Swaption"'
Autor:
Yamakami, Tomohisa, Takeuchi, Yuki
This paper describes a fast and stable algorithm for evaluating Bermudan swaption under the two factor Hull-White model. We discretize the calculation of the expected value in the evaluation of Bermudan swaption by numerical integration, and Gaussian
Externí odkaz:
http://arxiv.org/abs/2212.08250
The Libor market model is a mainstay term structure model of interest rates for derivatives pricing, especially for Bermudan swaptions, and other exotic Libor callable derivatives. For numerical implementation the pricing of derivatives with Libor ma
Externí odkaz:
http://arxiv.org/abs/1807.06622
Autor:
Lee, David
The general structure of the pricing Bermudan swaption is split into the following sections: collection of attribute information, calculating exercise tree levels and valuation information corresponding to those levels, and calculation of the derivat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8be560770c3b0c43135aca80c868796c
Autor:
David Lee
A Bermudan swaption is an option that gives the owner the right to enter a swap at each predetermined date in the exercise schedule.
https://ia903404.us.archive.org/20/items/ir-bermudan-28/IrBermudan-archive.pdf
https://ia903404.us.archive.org/20/items/ir-bermudan-28/IrBermudan-archive.pdf
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::01bc337488e9fc3857d3f5844a8ead29
Autor:
David Lee
An interest rate Bermudan swaption gives the holder the right but not the obligation to enter an interest rate swap at predefined dates. It is one of the fundamental ways for an investor to enter a swap. Comparing to regular swaptions, Bermudan swapt
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3510f902b4b1cb3f676d7cfd55cc6b60
Akademický článek
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The Libor market model, also known as the BGM Model, is a term structure model of interest rates. It is widely used for pricing interest rate derivatives, especially Bermudan swaptions, and other exotic Libor callable derivatives. For numerical imple
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::db23e6b3cb36d69fdf517580e4a49b1a
Autor:
Roland Lichters, Peter Caspers
Publikováno v:
SSRN Electronic Journal.
The introduction of mandatory margining for non-cleared portfolios has major implications for the pricing and risk measurement of OTC derivatives. In particular, it requires a model for estimating future initial margin to determine pricing adjustment
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::da534266ad2eb8c985a492e1afd422fc
https://doi.org/10.2139/ssrn.3132008
https://doi.org/10.2139/ssrn.3132008
Autor:
Juliusz Jabłecki
Publikováno v:
Journal of Computational Finance.
Prices of callable interest rate derivatives, such as Bermudan swaptions, can be strongly affected by our choice of interest rate model as well as its parameterization and calibration strategy. This paper develops a simple way to handle the inherent
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d025b9d84581d4ad1e2e31ceabafc03f
https://doi.org/10.21314/jcf.2018.353
https://doi.org/10.21314/jcf.2018.353