Berms without Calibration

K. E. Feldman

Papers from arXiv.org

Abstract: A new semi-analytical pricing model for Bermudan swaptions based on swap rates distributions and correlations between them. The model does not require product specific calibration.

Date: 2025-10, Revised 2025-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Journal of Risk, Volume 28, Number 1 (October 2025), Pages 31-53

Downloads: (external link)
http://arxiv.org/pdf/2510.15984 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2510.15984

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().