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This chapter explores the valuation of Bermudan swaptions and exotic derivatives through a broad set of analytical, numerical, and simulation-based methods. We begin by introducing the fundamentals of Bermudan swaptions and progressively extend the analysis to more complex instruments, including straddle swaptions and multi-asset exotic options with features such as Asian averaging, barriers, lookbacks, and stochastic volatility.

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Valuing Bermudan Swaptions with LSMC, LMM, and QuantLib Implementation Using Short-Rate Models (G2++, Hull–White, BK)

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  • 发表日期：

    2025年

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  • Aaron De La Rosa

摘要

This chapter explores the valuation of Bermudan swaptions and exotic derivatives through a broad set of analytical, numerical, and simulation-based methods. We begin by introducing the fundamentals of Bermudan swaptions and progressively extend the analysis to more complex instruments, including straddle swaptions and multi-asset exotic options with features such as Asian averaging, barriers, lookbacks, and stochastic volatility.