Social Science

    

LIBOR Market Model Pricing

Authors: Yongxin Xiao

This article presents a lattice approach for LIBOR Market Model by using several fast drift approximation methods. The fast convergence behavior requires fewer discretization nodes that gives better performance without losing much accuracy. Moreover, the calibration is almost automatic and it is simple and easy to implement.

Comments: 13 Pages.

Download: PDF

Submission history

[v1] 2022-08-09 19:46:06

Unique-IP document downloads: 307 times

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