Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas
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- Marc Henrard, 2005. "Libor Market Model and Gaussian HJM explicit approaches to option on composition," Finance 0511016, University Library of Munich, Germany, revised 07 Dec 2005.
- Linus Kaisajuntti & Joanne Kennedy, 2014. "Stochastic volatility for interest rate derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 457-480, March.
- Wolfgang Kluge & Antonis Papapantoleon, 2009. "On the valuation of compositions in Levy term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 951-959.
- Wolfgang Kluge & Antonis Papapantoleon, 2009. "On the valuation of compositions in L\'evy term structure models," Papers 0902.3456, arXiv.org.
- Henrard, Marc, 2006. "Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning," MPRA Paper 2001, University Library of Munich, Germany.
More about this item
KeywordsSwaption; delta; hedging; in-the-model; out-of-the-model sensitivity; models difference;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-07-26 (All new papers)
- NEP-CFN-2004-07-26 (Corporate Finance)
- NEP-CMP-2004-07-26 (Computational Economics)
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