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53
Simulating Bermudan Interest Rate Derivatives
, 1997
"... We use simulation to develop a Markov chain approximation for the value of caplets and Bermudan interest rate derivatives in the Market Model developed by Brace, Gatarek, and Musiela (1995) and Jamshidian (1996a,b). One and two factor versions of the Market Model were numerically studied. Our approa ..."
Abstract
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Cited by 16 (1 self)
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approach yields numerical values for caplets which are in close agreement with analytic solutions. We also provide numerical solutions for several Bermudan swaptions. Peter Carr, Guang Yang Morgan Stanley Open Link Financial 1585 Broadway, 6th Floor 333 Earle Ovington Blvd., 6th Floor New York, NY, 10036
Valuing American options by simulation: A simple least-squares approach
- Review of Financial Studies
, 2001
"... This article presents a simple yet powerful new approach for approximating the value of America11 options by simulation. The kcy to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable ..."
Abstract
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Cited by 517 (9 self)
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applicable in path-dependent and multifactor situations where traditional finite difference techniques cannot be used. We illustrate this technique with several realistic exatnples including valuing an option when the underlying asset follows a jump-diffusion process and valuing an America11 swaption in a 20
Risk Managing Bermudan Swaptions in the
, 2003
"... Abstract. This article presents a novel approach for calculating swap vega per bucket in the Libor BGM model. We show that for some forms of the volatility an approach based on re-calibration may lead to a large uncer-tainty in estimated swap vega, as the instantaneous volatility structure may be di ..."
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, Libor BGM model, swaption vega, risk management, swap market model, Bermudan swaption
On the suboptimality of single-factor exercise strategies for Bermudan swaptions
- Journal of Financial Economics
, 2005
"... In this paper we examine the cost of using recalibrated single-factor models to determine the exercise strategy for Bermudan swaptions in a multi-factor world. We demonstrate that single-factor exercise strategies applied in a multi-factor world only give rise to economically insignificant losses. F ..."
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Cited by 3 (0 self)
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In this paper we examine the cost of using recalibrated single-factor models to determine the exercise strategy for Bermudan swaptions in a multi-factor world. We demonstrate that single-factor exercise strategies applied in a multi-factor world only give rise to economically insignificant losses
Pricing the Bermudan Swaption with the Efficient Calibration and its Properties ∗
"... This paper presents a tree construction approach to pricing a Bermudan swaption with an efficient calibration method. The Bermudan swaption is an option, which at each date in a schedule of exercise dates gives the holder the right to enter an interest swap, provided that this right has not been exe ..."
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This paper presents a tree construction approach to pricing a Bermudan swaption with an efficient calibration method. The Bermudan swaption is an option, which at each date in a schedule of exercise dates gives the holder the right to enter an interest swap, provided that this right has not been
Bounding Bermudan Swaptions In A Swap-Rate Market Model
- Quantitative Finance
, 2002
"... We develop a new method for finding upper bounds for Bermudan swaptions in a swap-rate market model. By comparing with lower bounds found by exercise boundary parametrization, we find that the bounds are well within bid-o#er spread. As an application, we study the dependence of Bermudan swaption ..."
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Cited by 9 (0 self)
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We develop a new method for finding upper bounds for Bermudan swaptions in a swap-rate market model. By comparing with lower bounds found by exercise boundary parametrization, we find that the bounds are well within bid-o#er spread. As an application, we study the dependence of Bermudan
Pricing a Bermudan Swaption with a Short Rate Lattice Method
, 2005
"... This paper presents the tree construction approach to pricing a Bermudan swap-tion. The Bermudan swaption is an option, which at each date in a schedule of exercise dates gives the holder the right to enter an interest swap, provided that this right has not been exercised at any previous time in the ..."
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This paper presents the tree construction approach to pricing a Bermudan swap-tion. The Bermudan swaption is an option, which at each date in a schedule of exercise dates gives the holder the right to enter an interest swap, provided that this right has not been exercised at any previous time
The Valuation of American-style Swaptions in a Two-factor Spot-Futures Model
, 1999
"... We build a no-arbitrage model of the term structure of interest rates using two stochastic factors, the short-term interest rate and the premium of the futures rate over the short-term interest rate. The model provides an extension of the lognormal interest rate model of Black and Karasinski (1991) ..."
Abstract
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Cited by 5 (1 self)
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-style, Bermudan-style, and American-style swaptions. These prices are shown to be highly sensitive to the existence of the second factor and its volatility characteristics.
2003), Efficient control variates and strategies for Bermudan swaptions in a Libor market model
- Working Paper, University of Aarhus and Aarhus School of Business
, 2002
"... swaptions in a Libor market ..."
Bermudan Swaptions in the LIBOR Market Model," working paper, SimCorp
, 1999
"... Abstract: Bermudan swaptions have until recently been valued using only one-factor models such as the Black-Derman-Toy (BDT) or Black-Karasinski (BK) models. The LIBOR Market (LM) model which is a more general multi-factor model is becoming increasingly popular as a benchmark model. Whereas the BDT ..."
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Cited by 2 (0 self)
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Abstract: Bermudan swaptions have until recently been valued using only one-factor models such as the Black-Derman-Toy (BDT) or Black-Karasinski (BK) models. The LIBOR Market (LM) model which is a more general multi-factor model is becoming increasingly popular as a benchmark model. Whereas the BDT
Results 1 - 10
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53
