Bermudan

This chapter focuses on the pricing of various exotic interest rate derivatives including Bermudan swaptions, constant maturity swaps, trigger swaps, index amortizing swaps, and quantos.

A Bermudan callable has several call dates, usually coinciding with coupon dates.

Multi-dimensional option pricing becomes an important topic in financial markets (Franker et al., 2008). Among which, the American-type derivative (e.g. the Bermudan option) pricing is a challenging problem.