Du Zhikuo, Zhang Dixin. Valuation of Cross-Currency Bermudan Swaption[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(4): 425-434.
Citation: Du Zhikuo, Zhang Dixin. Valuation of Cross-Currency Bermudan Swaption[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(4): 425-434.
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Valuation of Cross-Currency Bermudan Swaption

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  • 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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