About Long-Term Cross-Currency Bermuda Swaption Pricing
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s10614-019-09899-7.pdf
Reference19 articles.
1. Ahsan, A. (2003). Multi-factor cross currency Libor Market Models: Implementation. https://doi.org/10.2139/ssrn.1214042 .
2. Andersen, L., & Broadie, M. (2004). Primal–dual simulation algorithm for pricing multidimensional American options. Management Science, 50(9), 1222–1234.
3. Andersen, L., & Piterbarg, V. (2010). Interest rate modeling. London: Atlantic Financial Press.
4. Belomestny, D. (2011). Pricing Bermudan options by nonparametric regression: Optimal rates of convergence for lower estimates. Finance and Stochastics, 15(4), 655–683.
5. Borovykha, A., Pascuccia, A., & Oosterlee, C. W. (2017). Pricing Bermudan options under local Levy models with default. Journal of Mathematical Analysis and Applications, 450(2), 929–953.
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