"Pricing Bermudan Interest Rate Swaptions via Parallel Simulation under the ..."

Nan Zhang, Ka Lok Man, Eng Gee Lim (2012)

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DOI: 10.1007/978-3-642-35606-3_56

access: open

type: Conference or Workshop Paper

metadata version: 2020-10-25

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Nan Zhang, Ka Lok Man, Eng Gee Lim:
Pricing Bermudan Interest Rate Swaptions via Parallel Simulation under the Extended Multi-factor LIBOR Market Model. NPC 2012: 472-481

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