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Berms without Calibration

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  • K. E. Feldman

Abstract

A new semi-analytical pricing model for Bermudan swaptions based on swap rates distributions and correlations between them. The model does not require product specific calibration.

Suggested Citation

  • K. E. Feldman, 2025. "Berms without Calibration," Papers 2510.15984, arXiv.org, revised Dec 2025.
    • Handle: RePEc:arx:papers:2510.15984
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    File URL: http://arxiv.org/pdf/2510.15984
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    References listed on IDEAS

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    1. Marc Henrard, 2006. "A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 1-18.
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