A comparison of single factor Markov-functional and multi factor market models
Work
Year: 2010
Type: article
Abstract: We compare single factor Markov-functional and multi factor market models and the impact of their correlation structures on the hedging performance of Bermudan swaptions. We show that hedging performa... more
Source: Review of Derivatives Research
Authors Raoul Pietersz, Antoon Pelsser
Institution Maastricht University
Cites: 47
Cited by: 6
Related to: 10
FWCI: 0.818
Citation percentile (by year/subfield): 71.4
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $2,890