Ӧ�ø���ͳ�� 2011, 27(4) 425-434 DOI:      ISSN: 1001-4268 CN: 31-1256

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�����޷��õ���ʽ���۹�ʽ, ����ʹ����Least Squared Monte-
Carlo�㷨��ȷ����Ȩ������ִ��ʱ��.
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Valuation of Cross-Currency Bermudan Swaption
Du Zhikuo,Zhang Dixin
Beijing Jiaotong University,Chinese Academy of Sciences
Abstract:

This paper extends Hull-White interest
rate model to cover cross-currency case. In the extended model we
discuss valuation of cross-currency Bermudan swaptions. Since the
closed-form pricing formula is hard to obtain, we apply the Least
Squared Monte-Carlo approach to find the optimal exercising time.
Some numerical results with different parameters are presented.

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