PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS (Q2927950): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 09:03, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS |
scientific article |
Statements
PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS (English)
0 references
5 November 2014
0 references
Gaussian HJM multifactor models
0 references
European-style swaptions
0 references
conditioning approach
0 references
rank-1 approximation
0 references
lognormal approximation
0 references
stochastic duration
0 references
Edgeworth expansion
0 references
hyperplane approximation
0 references
low-variance martingale approximation
0 references
