Zobrazeno 1 - 10
of 27
pro vyhledávání: '"Bermudan Swaption"'
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:
Yang, Alex
A cancelable swap consists of a vanilla swap and a Bermudan option to cancel the remaining swap. The price of the cancelable swap is sum of values of the swap and the option.
https://ia903401.us.archive.org/17/items/ir-cancelable-swap-29/IrCance
https://ia903401.us.archive.org/17/items/ir-cancelable-swap-29/IrCance
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c87b896e6af007f3d2e4cbc96c5096e1
Autor:
David Lee
A cancelable swap provides the right but not the obligation to cancel the interest rate swap at predefined dates. Most commonly traded cancelable swaps have multiple exercise dates. Given its Bermudan style optionality, a cancelable swap can be repre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9eb4fbe4c9d31b622303c03c2a7f4357
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
Publikováno v:
Journal of Computational Finance, 20(1), 139-172
This paper presents a computationally efficient technique for the computation of exposure distributions at any future time under the risk-neutral and some observed real-world probability measures; these are needed for the computation of credit valuat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5d9e518cc013b5c3f4613c36090e81fb
https://doi.org/10.21314/jcf.2017.337
https://doi.org/10.21314/jcf.2017.337
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Autor:
Mikkel Svenstrup
Publikováno v:
Svenstrup, M 2005, ' On the suboptimality of single-factor exercise strategies for Bermudan swaptions ' Journal of Financial Economics, vol. 78, no. 3, pp. 651-684 .
Udgivelsesdato: DEC This paper resolves the disagreement between Longstaff et al. [2001. Journal of Finance Economics 62, 39-66] and Andersen and Andreasen [2001. Journal of Financial Economics 62, 3-37] over the effectiveness of the common business
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::000d5325d6106129e13ee569e17f4018
https://doi.org/10.1016/j.jfineco.2004.09.002
https://doi.org/10.1016/j.jfineco.2004.09.002
Publikováno v:
Journal of Computational Finance. 8(1):93-124
This paper shows that the forward rates process discretized by a single time step together with a separability assumption on the volatility function allows for representation by a low-dimensional Markov process. This in turn leads to efficient pricin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od________83::6fb0dc076e63666b18dcaa4c86331de7
https://cris.maastrichtuniversity.nl/en/publications/dc83ab5c-0131-4df0-914a-38d92ebbdaa1
https://cris.maastrichtuniversity.nl/en/publications/dc83ab5c-0131-4df0-914a-38d92ebbdaa1
Autor:
Raoul Pietersz, Antoon Pelsser
Publikováno v:
Review of Derivatives Research, 13(3), 245-272. Springer Verlag
Review of Derivatives Research, 13(3), 245-272. Springer New York
Review of Derivatives Research, 13(3), 245-272. Springer New York
We compare single factor Markov-functional and multi factor market models and the impact of their correlation structures on the hedging performance of Bermudan swaptions. We show that hedging performance of both models is comparable, thereby supporti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65c7370d92c6f081beade6b575510b83
https://cris.maastrichtuniversity.nl/en/publications/800a69dd-27ad-4220-ac64-63ff9ff27124
https://cris.maastrichtuniversity.nl/en/publications/800a69dd-27ad-4220-ac64-63ff9ff27124