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Journal Articles Computational Economics Year : 2020

About Long-Term Cross-Currency Bermuda Swaption Pricing

Bünyamin Erkan
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Jean-Luc Prigent
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Théorie économique, modélisation et applications

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Mathematics [math] Humanities and Social Sciences Statistics [stat] Quantitative Finance [q-fin]

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https://hal-cyu.archives-ouvertes.fr/hal-03679412

Submitted on : Thursday, May 26, 2022-3:24:23 PM

Last modification on : Friday, March 24, 2023-2:53:27 PM

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hal-03679412 , version 1 (26-05-2022)

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Bünyamin Erkan, Jean-Luc Prigent. About Long-Term Cross-Currency Bermuda Swaption Pricing. Computational Economics, 2020, 56 (1), pp.239-262. ⟨10.1007/s10614-019-09899-7⟩. ⟨hal-03679412⟩

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