Open AccessSwaption Pricing under Libor Market Model Using Monte-Carlo Method with Simulated Annealing Optimization
Author(s) -
Kennedy Munene Ondieki
Publication year - 2022
Publication title -
journal of mathematical finance
Language(s) - English
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2022.122024
Subject(s) - mathematical optimization , simulated annealing , monte carlo method , local volatility , libor market model , probabilistic logic , volatility (finance) , computer science , mathematics , econometrics , stochastic volatility , statistics
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