Pricing Bermudan Swaption under Two Factor Hull-White Model with Fast Gauss Transform
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- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
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- Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi, 2009. "A Note on Construction of Multiple Swap Curves with and without Collateral," CIRJE F-Series CIRJE-F-630, CIRJE, Faculty of Economics, University of Tokyo.
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