A. R. Radhakrishnan. Does Correlation Matter in Pricing Caps and Swaptions ? Working paper, Department of Finance, Stern School of Business, New York University, 9-190 P, 44 West 4th Street, New York, NY 10012-1126, 1998. http://www.stern.nyu.edu/#aradhakr. 2 Home/Search Document Not in Database Summary Related Articles Check |
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Non-recombining trees for the pricing of interest rate.. - Jäckel (Correct)
....many publications on recombining tree methods and how to construct them for optimal performance, very little is in the literature on the construction of non recombining trees. What s more, the few descriptions of the construction of non recombining tree methods and analysis of their performance [JW00, MW99, Rad98a, Rad98b] focus on no more than three factors. In this article, I present a generic method to construct a non recombining tree for any given number of factors and provide the algebraic equations needed to calculate the coefficients that determine the branches. McCarthy and Webber [MW99] and Radhakrishnan ....
A. R. Radhakrishnan. Does Correlation Matter in Pricing Caps and Swaptions ? Working paper, Department of Finance, Stern School of Business, New York University, 9-190 P, 44 West 4th Street, New York, NY 10012-1126, 1998. http://www.stern.nyu.edu/#aradhakr. 2
Bermudan Swaptions in the LIBOR Market Model - Pedersen (1999) (Correct)
....review the Longsta# Schwartz method and apply it to the LM model (in section 4) In section 5 we will review the Stochastic Mesh method and consider its applications for the LM model. For the comparison of these methods we will use scenarios given in [And98] Some of these scenarios originate from [Rad98] who also provide swaption premia computed using non recombining trees which we may use for additional reference. The scenarios and reference swaption values are in appendix A and appendix C. As a further benchmark we have also added the values of some European swaptions computed using closed form ....
....values are in appendix A and appendix C. As a further benchmark we have also added the values of some European swaptions computed using closed form approximation, non recombining trees, and Monte Carlo simulation. In the event that the reader wishes to cross check, note that the modification of [Rad98] is necesitated as his scenarios are for a log normal HJM model while those of [And98] and therefore also ours) are for log normal LM model: The continuously compounded forward rates must be translated into discretely compounded rates and an adjustment must be made on the volatilities. 2 We ....
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A R Radhakrishnan, Does Correlation Matter in Pricing Caps and Swaptions?, Stern School of Business: http://www.stern.nyu.edu/aradhakr, September 1998.
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