Wednesday, January 13, 2010

Pricing Swaption Bermuda How Do I Price A Bermudan Swaption?

How do I price a bermudan swaption? - pricing swaption bermuda

The Monte Carlo simulation, there is no explicit formula for what I know. An interesting article can be found here
http://ideas.repec.org/p/osk/wpaper/0503 ...

This thesis deals with the question thus:
http://martingale.berlios.de/topics/LMM/ ...

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