RISK SENSITIVITIES OF BERMUDA SWAPTIONS

DOI10.1142/S0219024904002487zbMath1107.91354OpenAlexW3123576464MaRDI QIDQ3022106

Vladimir V. Piterbarg

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002487

zbMATH Keywords

PDEhedginglattice methodsGreeksdeltasCheyette modelBermudan swaptionsBGMgammasLibor Market Modelvegas

Mathematics Subject Classification ID

Related Items (4)

Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods ⋮ American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach ⋮ Sensitivities for Bermudan options by regression methods ⋮ LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS

Cites Work

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• Similarity and decision-making under risk (Is there a utility theory resolution to the Allais paradox?)
• Fast accurate binomial pricing
• Implied interest rate pricing models
• Pricing Barrier Options with Time–Dependent Coefficients
• Volatility skews and extensions of the Libor market model

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