Swap rate à la stock: Bermudan swaptions made easy

DOI10.1142/9789811259142_0018zbMATH Open1546.91249MaRDI QIDQ6599196FDOQ6599196

Authors: Dariusz Gątarek, Juliusz Jabłecki 

Publication date: 6 September 2024

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zbMATH Keywords

local volatilityBermudan optionsCheyette model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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