Turbo Charging the Cheyette Model
Jesper Andreasen
Danske Bank - Danske Markets
June 1, 2001
Abstract:
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: G13
working papers series
Suggested Citation
Andreasen, Jesper, Turbo Charging the Cheyette Model (June 1, 2001). Available at SSRN: http://ssrn.com/abstract=1719142 or http://dx.doi.org/10.2139/ssrn.1719142
