scholarly journals Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model

2003 ◽  
Author(s):  
Malene Shin Jensen ◽  
Mikkel Svenstrup
Keyword(s):  
Market Model ◽  
Control Variates ◽  
Libor Market Model ◽  
Efficient Control ◽  
Bermudan Swaptions

scholarly journals Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model

2016 ◽  
Vol 03 (01) ◽  
pp. 1650005 ◽  
Author(s):  
Patrik Karlsson ◽  
Shashi Jain ◽  
Cornelis W. Oosterlee
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Monte Carlo Simulations ◽  
Upper Bound ◽  
Market Model ◽  
Monte Carlo Approach ◽  
Lower Upper ◽  
Libor Market Model ◽  
Bermudan Swaptions

This paper describes an American Monte Carlo approach for obtaining fast and accurate exercise policies for pricing of callable LIBOR Exotics (e.g., Bermudan swaptions) in the LIBOR market model using the Stochastic Grid Bundling Method (SGBM). SGBM is a bundling and regression based Monte Carlo method where the continuation value is projected onto a space where the distribution is known. We also demonstrate an algorithm to obtain accurate and tight lower–upper bound values without the need for nested Monte Carlo simulations.

scholarly journals A Comparison of Control Variate Methods for Pricing Interest Rate Derivatives in the LIBOR Market Model

2015 ◽  
Vol 3 (1) ◽  
pp. 48-58
Author(s):  
Chenglong Xu ◽  
Wei Guan ◽  
Yijuan Liang
Keyword(s):  
Interest Rate ◽  
Numerical Results ◽  
Market Model ◽  
Great Efficiency ◽  
Control Variates ◽  
Interest Rate Derivatives ◽  
Libor Market Model ◽  
Control Variate ◽  
Path Dependent

AbstractThis paper studies the control variate method for pricing interest rate derivatives driven by the LIBOR market model. Several control variates are constructed based on distinctive approximations for the LIBOR market model. Numerical results show the great efficiency of our methods. The idea in this paper can also be extended to price other interest rate derivatives under the LIBOR market model, such asSwaptions, Caps, some path dependent interest rate derivatives, and so forth.

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