Journal of Risk
ISSN:
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Need to know
- We propose a new semi-analytical pricing model for Bermudan swaptions based on swap rate distributions and correlations between them.
- The model does not require product specific calibration.
- The model replaces the use of mean reversion parameters with swap rate correlations.
Abstract
We propose a new semi-analytical pricing model for Bermudan swaptions based on swap-rate distributions and the correlations between them. The model does not require product-specific calibration.
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