On the pricing of Bermudan swaptions with an application to limited observed market data Mattias Jansson Royal Institute of Technology - Black–Karasinski model - Document - PDFSEARCH.IO

First Page	Meta Content
	On the pricing of Bermudan swaptions with an application to limited observed market data Mattias Jansson Royal Institute of Technology Add to Reading List Document Date: 2005-04-19 06:48:00 Open Document File Size: 425,03 KB Share Result on Facebook City Stockholm / / Company Algorithmica Research AB / / Country Sweden / / Facility Mattias Jansson Royal Institute of Technology Algorithmica Research AB Lindstedts väg / Royal Institute of Technology / / IndustryTerm theoretical solution / bank account / / Organization Mattias Jansson Royal Institute of Technology Algorithmica Research AB Lindstedts väg / Institute of Technology / / Person Boualem Djehiche / Peter / / Position Professor / supervisor / / ProvinceOrState Aurora / / SocialTag Finance Fixed income analysis Economics Swaption Pricing Ho–Lee model Black–Karasinski model Hull–White model Financial economics Mathematical finance

On the pricing of Bermudan swaptions with an application to limited observed market data Mattias Jansson Royal Institute of TechnologyAdd to Reading List