Approximate swaption formula in LMM: an asymptotic expansion approach
Posted: June 25th, 2007, 4:38 pm
In the paper "A new approximate swaption forumla in the LIBOR market model: an asymptotic expansion approach", Atsushi derives an approximate formula for European payer swaptions in the LIBOR market model.Has anyone here ever implemented this method to approximate the payer price (or applications to other areas like Guassian distribution etc)? How good is it in terms of speed and accuracy? Well in the paper the author claims his method beats Brace and Andersen's...Thanks a lot.