Exercise Strategies for the Bermudan Swaption

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概要

• 論文の詳細を見る

• This paper presents theoretical conditions, under which an option holder does not exercise a Bermudan swaption. We can utilize the conditions for making profitable exercise strategies. The conditions are derived by optimality equations under varying forward neutral probabilities.

• 名古屋商科大学の論文

著者

• 丹波 靖博

  名古屋商科大学会計ファイナンス研究科

関連論文

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• Exercise Strategies for the Bermudan Swaption
• Pricing the Bermudan Swaption with the Efficient Calibration

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