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Berms without Calibration

Pricing of Securities 2025-12-12 v2 Probability Mathematical Finance
Authors: K. E. Feldman
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Abstract

A new semi-analytical pricing model for Bermudan swaptions based on swap rates distributions and correlations between them. The model does not require product specific calibration.

Keywords

derivative pricing and hedging

Cite

@article{arxiv.2510.15984,
  title  = {Berms without Calibration},
  author = {K. E. Feldman},
  journal= {arXiv preprint arXiv:2510.15984},
  year   = {2025}
}

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