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An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancellable Swaps Under the Libor Market Model
Joshi, Mark S., Zhu, DanYear:
2014
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2541513
File:
PDF, 337 KB
english, 2014