A comparison of single factor Markov-functional and multi factor market models

DOI10.1007/s11147-009-9050-5zbMath1213.91083OpenAlexW3125893808MaRDI QIDQ541589

Antoon Pelsser, Raoul Pietersz

Publication date: 7 June 2011

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9050-5

zbMATH Keywords

smilehedgingmarket modelBermudan swaptiongreeks for callable productsMarkov-functional modelterminal correlation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING PROCESS FOR ONE-FACTOR MARKOV-FUNCTIONAL MODELS

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