Risk-managing Bermudan swaptions in a LIBOR model

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@article{6a75338d429048be84f5a8777fcf1f25,

title = "Risk-managing Bermudan swaptions in a LIBOR model",

author = "Pietersz, \{R (Raoul)\} and Pelsser, \{AAJ (Antoon)\}",

year = "2004",

language = "Undefined/Unknown",

volume = "11",

pages = "51--62",

journal = "The Journal of Derivatives",

issn = "1074-1240",

publisher = "Portfolio Management Research",

number = "3",

}