Pricing and calibration of a chooser flexible cap (Q3566770)
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scientific article; zbMATH DE number 5719300
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| English | Pricing and calibration of a chooser flexible cap |
scientific article; zbMATH DE number 5719300 |
Statements
PRICING AND CALIBRATION OF A CHOOSER FLEXIBLE CAP (English)
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10 June 2010
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chooser flexible cap
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LIBOR
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dynamic programming
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Hull-White model
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calibration
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0.7717602252960205
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0.7239330410957336
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0.719498336315155
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0.7113937735557556
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