Berms without Calibration
Fuente:
arXiv
Salvato in:
| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866915667379224576 |
|---|---|
| author | Feldman, K. E. |
| author_facet | Feldman, K. E. |
| contents | A new semi-analytical pricing model for Bermudan swaptions based on swap rates distributions and correlations between them. The model does not require product specific calibration. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_15984 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Berms without Calibration Feldman, K. E. Pricing of Securities Probability Mathematical Finance A new semi-analytical pricing model for Bermudan swaptions based on swap rates distributions and correlations between them. The model does not require product specific calibration. |
| title | Berms without Calibration |
| topic | Pricing of Securities Probability Mathematical Finance |
| url | https://arxiv.org/abs/2510.15984 |