Risk-managing Bermudan swaptions in a LIBOR model

R (Raoul) Pietersz, AAJ (Antoon) Pelsser

Research output: Contribution to journalArticleAcademic

5 Citations (Scopus)
Original languageUndefined/Unknown
Pages (from-to)51-62
Number of pages12
JournalThe Journal of Derivatives
Volume11
Issue number3
Publication statusPublished - 2004

Research programs

  • EUR ESE 11

Cite this