Exact Pricing Formulae for Caps and Swaptions in a LéVy Term Structure Model

By Ernst Eberlein, Wolfgang Kluge. 2005

83 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/222ffcf4521d926ce1a209a1e742542ed94e2b0b

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In Economics and Econometrics

1. Conall O’Sullivan

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Citations in the corpus

• A simple recursive numerical method for Bermudan option pricing under Lévy processes (2006, methodology): “See Eberlein and Kluge (2004) for an example of a piecewise Lévy process applied to a term structure model.”