RISK SENSITIVITIES OF BERMUDA SWAPTIONS (Q3022106)

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RISK SENSITIVITIES OF BERMUDA SWAPTIONS
scientific article

    Statements

    title
    RISK SENSITIVITIES OF BERMUDA SWAPTIONS (English)
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    publication date
    22 June 2005
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    zbMATH Keywords
    Bermudan swaptions
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    hedging
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    Greeks
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    deltas
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    vegas
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    gammas
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    lattice methods
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    PDE
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    BGM
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    Libor Market Model
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    Cheyette model
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    Identifiers

    zbMATH DE Number
    2177864
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