A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model
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چکیده
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منابع مشابه
A Semi-analytical Approach to Canary Swaptions in Hjm One-factor Model
Leveraging the explicit formula for European swaptions and coupon-bond options in HJM one-factor model we develop a semi-explicit formula for 2-Bermudan options (also called Canary options). For this we first extend the European swaption formula to future times. Then we are able to reduce the valuation of a 2-Bermudan swaption to a single numerical integration. In that integration the most comp...
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