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.
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.
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.
DownLoad: