A comparison of single factor Markov-functional and multi factor market models

Raoul Pietersz () and Antoon Pelsser

Review of Derivatives Research, 2010, vol. 13, issue 3, 245-272

Keywords: Markov-functional model; Market model; Bermudan swaption; Terminal correlation; Hedging; Greeks for callable products; Smile; G13 (search for similar items in EconPapers)
Date: 2010
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Working Paper: A Comparison of Single Factor Markov-Functional and Multi Factor Market Models (2005)
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DOI: 10.1007/s11147-009-9050-5

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