TY - GEN A1 - Bender, Christian A1 - Kolodko, Anastasia A1 - Schoenmakers, John T1 - Iterating snowballs and related path dependent callables in a multi-factor Libor model N2 - We propose a valuation method for callable structures in a multi-factor Libor model which are path-dependent in the sense that, after calling, one receives a sequence of cash-flows in the future, instead of a well specified cash-flow at the calling date. The method is based on a Monte Carlo procedure for standard Bermudans recently developed in Kolodko & Schoenmakers (2004), and is applied to the cancelable snowball interest rate swap. The proposed procedure is quite generic, straightforward to implement, and can be easily adapted to other related path-dependent products. KW - optimal stopping KW - path dependent derivative KW - Libor market model Y1 - 2005 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/300 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-3006 ER -