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Abstract: : Bermudan swaptions have until recently been valued using only one-factor models such as the Black-Derman-Toy (BDT) or Black-Karasinski (BK) models. The LIBOR Market (LM) model which is a more general multi-factor model is becoming increasingly popular as a benchmark model. Whereas the BDT and BK models can be approximated using a lattice facilitating easy valuation of Bermudan swaption, the LM model doesn't conform to the lattice framework and as such the valuation seems very di#cult.... (Update)
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BibTeX entry: (Update)
@misc{ pedersen-bermudan,
author = "Morten Bjerregaard Pedersen",
title = "Bermudan Swaptions in the LIBOR Market Model",
url = "citeseer.ist.psu.edu/pedersen99bermudan.html" }
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14 Valuing American Options By Simulation: A Simple Least-Squar.. (context) - Longsta, Schwartz - 1998
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2 Monte Carlo Methods for Pricing HighDimensional American Opt.. (context) - Broadie, Glasserman - 1997
2 Throwing away a billion dollars: The cost of suboptimal exer.. (context) - Longsta, Santa-Clara et al. - 1999
2 Does Correlation Matter in Pricing Caps and Swaptions (context) - Radhakrishnan - 1998
1 LIBOR Market Model in Practice (context) - Sidenius - 1998
1 Monte Carlo Simulation of the BGM Model (context) - Brotherton-Ratcli - 1998
1 A Stochasitc Mesh Method for Pricing HighDimensional America.. (context) - Broadie, Glasserman - 1997
1 Simulating Bermudan Interest Rate Derivatives - Carr, Yang - 1997
1 Arbitrage-Free Discretisation of Lognormal Forward Libor and.. (context) - Glasserman, Zhao - 1998
1 SimCorp Financial Research Working Paper (context) - Pedersen, LIBOR et al. - 1998
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