About Long-Term Cross-Currency Bermuda Swaption Pricing - CY Cergy Paris Université
Journal Articles Computational Economics Year : 2020

About Long-Term Cross-Currency Bermuda Swaption Pricing

Bünyamin Erkan
  • Function : Author
Jean-Luc Prigent
  • Function : Author
  • PersonId : 1134801
Théorie économique, modélisation et applications

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Mathematics [math] Humanities and Social Sciences Statistics [stat] Quantitative Finance [q-fin]

Jean-Luc Prigent  : Connect in order to contact the contributor

https://cyu.hal.science/hal-03679412

Submitted on : Thursday, May 26, 2022-3:24:23 PM

Last modification on : Tuesday, April 16, 2024-12:00:08 PM

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hal-03679412 , version 1 (26-05-2022)

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Bünyamin Erkan, Jean-Luc Prigent. About Long-Term Cross-Currency Bermuda Swaption Pricing. Computational Economics, 2020, 56 (1), pp.239-262. ⟨10.1007/s10614-019-09899-7⟩. ⟨hal-03679412⟩

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