The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM (Q5411985)
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scientific article; zbMATH DE number 6288560
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| English | The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM |
scientific article; zbMATH DE number 6288560 |
Statements
THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM (English)
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25 April 2014
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LIBOR market model
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Brownian bridge
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callable range accrual
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displaced diffusion
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Greeks
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0.7771987915039062
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0.7301493287086487
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0.7288104295730591
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0.7265375852584839
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