SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL
From MaRDI portal
Publication:3523595
DOI10.1142/S0219024901001127zbMath1153.91490MaRDI QIDQ3523595
Erik Schlögl, Tim Dun, Geoff Barton
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024901001127
Related Items
EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL, Weak and strong Taylor methods for numerical solutions of stochastic differential equations, On swap rate dynamics: to freeze or not to freeze?
Cites Work