Download This PaperComparing Discretization of the LIBOR Market Model in the Spot Measure
18 Pages Posted: 13 Feb 2008 Last revised: 24 Nov 2009
Date Written: January 17, 2008
Abstract
Various drift approximations for the displaced-discussion LIBOR market model in the spot measure are compared. The advantages, disadvantages and implementation choices for each of predictor-corrector and the Glasserman-Zhao method are discussed. Numerical tests are carried out and we conclude that the predictor-corrector method is superior.
Keywords: LIBOR market model, predictor-corrector, discretization
JEL Classification: G13
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Fast Drift Approximated Pricing in the Bgm Model
By Raoul Pietersz, Antoon Pelsser, ...
-
By Antoon Pelsser, Frank De Jong, ...
-
New and Robust Drift Approximations for the Libor Market Model
By Mark S. Joshi and Alan M. Stacey
-
Cliquet Options: Pricing and Greeks in Deterministic and Stochastic Volatility Models
By Peter Den Iseger and Emöke Oldenkamp
-
Very Long-Stepping in the Spot Measure of the LIBOR Market Model
-
Computing Greeks: A Drift-Adjustment Technique for European and Asian Style Derivatives
By Peter Den Iseger and Emöke Oldenkamp