Factor dependence of Bermudan swaptions: Fact or fiction?*

Journal of Financial Economics

Volumn 62, Issue 1, 2001, Pages 3-37

  Andersen, Leif ^a   Andreasen, Jesper ^a  

^a General Re Financial Products   (United States)

Author keywords

Bermudan swaptions; E43; G12; G13; Model calibration; Multi factor gaussian models; Multi factor libor market models

Indexed keywords

EID: 0009886730     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(01)00072-1     Document Type: Article

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