Turbo Charging the Cheyette Model
Danske Bank - Danske Markets
June 1, 2001
We describe a number of ideas for speeding up and improving the performance of the Cheyette (1992) yield curve model with particular attention to the pricing of Bermudan swaptions. Specifically, we present: a better skew specification, a more efficient method for pricing, closed-form approximations for calibration of the model, and a new idea for calibrating the speed of mean-reversion.
Number of Pages in PDF File: 12
Keywords: Markovian HJM Models, Bermudan Swaption Pricing
JEL Classification: G13working papers series
Date posted: December 5, 2010
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