A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model
Preprint
- 1 January 1999
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This paper considers the pricing of Bermuda-style swaptions in the Libor market model (Brace et al (1997), Jamshidian (1997), Miltersen et al (1997)) and its exKeywords
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