RISK SENSITIVITIES OF BERMUDA SWAPTIONS

DOI10.1142/S0219024904002487MaRDI QIDQ3022106zbMATH OpenOpenAlexFDO

Authors 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

Bermudan swaptionsBGMCheyette modeldeltasgammasGreekshedginglattice methodsLibor Market ModelPDEvegas

Mathematics Subject Classification ID

Recommendations

• Accurate vega calculation for Bermudan swaptions
• Sensitivities for Bermudan options by regression methods
• Bounding Bermudan swaptions in a swap-rate market model
• Simulating Bermudan interest rate derivatives
• A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model

Cites work

• Fast accurate binomial pricing
• scientific article; zbMATH DE number 702539 (Why is no real title available?)
• Implied interest rate pricing models
• Pricing Barrier Options with Time–Dependent Coefficients
• Similarity and decision-making under risk (Is there a utility theory resolution to the Allais paradox?)
• Volatility skews and extensions of the Libor market model

Cited in

(9)

• Valuation of cross-currency Bermudan swaptions
• 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
• Accurate vega calculation for Bermudan swaptions
• Bounding Bermudan swaptions in a swap-rate market model
• AFFINE LATTICE MODELS
• Local stochastic volatility with jumps: analytical approximations
• A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model
• Sensitivities for Bermudan options by regression methods

This page was built for publication: RISK SENSITIVITIES OF BERMUDA SWAPTIONS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3022106)