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余弦密度近似:スワプション・プライシングへの応用
09 August 2023 - by Sophian Mehalla, Lucien Morice
本稿では、計算時間の大幅な短縮につながる、スワップションに適用される余弦級数密度近似に基づく代替プライシング手法に注目します。
Article
Cosine densities approximations: Applications to swaptions pricing
09 August 2023 - by Sophian Mehalla, Lucien Morice
We look at an alternative pricing method based on density cosine-series approximation applied to swaptions, which offers a significant gain in computation time.