A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model (Q5489324)
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scientific article; zbMATH DE number 5057349
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| English | A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model |
scientific article; zbMATH DE number 5057349 |
Statements
A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model (English)
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25 September 2006
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Bermudan swaption
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HJM one-factor model
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Hull-White model
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explicit formula
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numerical integration
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0.7479451298713684
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0.7439727783203125
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0.7358265519142151
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0.734523355960846
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