Main category
Economics (General Management)
Abstract
A Libor rate model is presented for pricing Libor-rate based derivative securities including caps, floors, and cross-currency Bermudan swaptions. Although referred to as a BGM model, the model is actually based on Jamshidian’s approach towards Libor rate modeling (i.e., where Libor rates are modeled simultaneously under the spot Libor measure).
Further reading
https://ia601500.us.archive.org/4/items/liborSwapModel/liborSwapModel.pdf
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