Valuación de Swaptions Bermuda basada en el modelo LIBOR adaptado a vectores frontera

Igor P. Rivera (), Enzo D'Antonio di Vito and Andrés Fundia
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Igor P. Rivera: Tecnológico de Monterrey
Enzo D'Antonio di Vito: BBVA Bancomer
Andrés Fundia: Infonavit

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2011, vol. 5, issue 1, 77-92

Abstract: This paper studies the computation of the price of a type of Bermuda Swaptions based on the Libor Model (LMM) interest rate vector Monte Carlo algorithm adapted to value American options, which are exercised at the boundary or exercise early. This approach has the advantage of being quickly to implement and get reasonable estimations of the value of Bermuda swaptions

Keywords: Valuación de derivados de tasa de interés; Swaptions Bermuda; Simulación Monte Carlo (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:201106

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