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Keywords: Basis Function
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Journal Articles
An Optimal Selection of the basis Functions for the Valuation of Interest Rate Structured Notes
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2014) 22 (4): 637–674.
Published: 30 November 2014
...Hanki Seong; Sang Bin Lee This paper examines which basis functions are efficient to employ a combined method of Hull and White (1990) with the Monte Carlo simulation when we price a callable range note or a callable bond. We use the Huge and Rom-Poulsen (2007) method which has modified the least...
