Lattice Framework for LIBOR Market Model

This article presents a lattice framework for valuing derivatives based on LIBOR Market Model by introducing a shifted forward measure. The model has similar accuracy to the current pricing models in the market, but is much faster. Some other merits of the model are that calibration is almost automatic and the approach is less complex and easier to implement than other current approaches.https://ia801403.us.archive.org/29/items/lattice-in-lmm-4/Lattice-in-LMM-4.pd