Simulating Bermudan interest rate derivatives

MaRDI QIDQ2725585zbMATH OpenFDO

Authors Peter Carr, Guang Yang

Publication date 12 July 2001

zbMATH Keywords

Bermudan interest ratecapletsMarkov chain approximation

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cited in

(5)

• RISK SENSITIVITIES OF BERMUDA SWAPTIONS
• Bounding Bermudan swaptions in a swap-rate market model
• Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
• A perturbative approach to Bermudan options pricing with applications
• Swap rate à la stock: Bermudan swaptions made easy

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