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- W2896056198 abstract "We provide efficient swaption volatility approximations for longer maturities and tenors under the lognormal forward-LIBOR model (LFM). In particular, we approximate the swaption volatility with a mean update of the spanning forward rates. Since the joint distribution of the forward rates is not known under a typical pricing measure, we resort to numerical discretization techniques. More specifically, we approximate the mean forward rates with a multi-dimensional weak order 2.0 Itō–Taylor scheme. The higher-order terms allow us to more accurately capture the state dependence in the drift terms and compute conditional expectations with second-order accuracy. We test our approximations for longer maturities and tenors using a quasi-Monte Carlo (QMC) study and find them to be substantially more effective when compared to the existing approximations, particularly for calibration purposes." @default.
- W2896056198 created "2018-10-26" @default.
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- W2896056198 date "2018-06-01" @default.
- W2896056198 modified "2023-10-03" @default.
- W2896056198 title "EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL" @default.
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- W2896056198 doi "https://doi.org/10.1142/s0219024918500206" @default.
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