Efficient Control Variates and Strategies for Bermudan...

Efficient Control Variates and Strategies for Bermudan Swaptions in a LIBOR Market Model

Jensen, Malene Shin, Svenstrup, Mikkel
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Volume:
12
Language:
english
Journal:
The Journal of Derivatives
DOI:
10.3905/jod.2005.517183
Date:
January, 2005
File:
PDF, 255 KB
english, 2005
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