مرکز منطقه ای اطلاع رساني علوم و فناوري - On the suboptimality of single-factor exercise strategies for Bermudan swaptions

Title of article :

On the suboptimality of single-factor exercise strategies for Bermudan swaptions

Author/Authors :

Mikkel Svenstrup، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2005

Pages :

From page :

651

To page :

684

Keywords :

Least square Monte Carlo , Model risk , Bermudan swaption , American option , Modelcalibration

Journal title :

Journal of Financial Economics

Serial Year :

2005

Journal title :

Journal of Financial Economics

Record number :

257795

Link To Document :