Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
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References listed on IDEAS
- Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
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- Svenstrup, Mikkel, 2003. "On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions," Finance Working Papers 02-24, University of Aarhus, Aarhus School of Business, Department of Business Studies.
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KeywordsBermudan Swaptions; Control Variates; Exercise Strategy; Primal-Dual Algorithm; Stochastic Volatility;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-05-15 (All new papers)
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