مرکز منطقه ای اطلاع رساني علوم و فناوري - Factor dependence of Bermudan swaptions: fact or fiction?

Title of article :

Factor dependence of Bermudan swaptions: fact or fiction?

Author/Authors :

Leif Andersen، نويسنده , , Jesper Andreasen، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2001

Pages :

From page :

To page :

Keywords :

Bermudan swaptions , Multi-factor libor market models , Model calibration , Multi-factor gaussian models

Journal title :

Journal of Financial Economics

Serial Year :

2001

Journal title :

Journal of Financial Economics

Record number :

257507

Link To Document :