Fast drift approximated pricing in the BGM model
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More about this item
KeywordsBGM model; predictor-corrector; Brownian bridge; Markov processes; separability; Feynman-Kac; Bermudan swaption;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CMP-2005-04-16 (Computational Economics)
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