A new simulation approach to the LIBOR m
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Henry Schellhorn; Zhihua Chen
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Article
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2006
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Elsevier Science
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English
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This article suggests a new approach for conducting Monte Carlo simulation within the BGM/J LIBOR model. We define a double layer of forwards that span the simulation horizon. These forwards define what we call the "double layer" forward (DLF) simulation scheme. Simulations can be up to another leve