Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model
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References listed on IDEAS
- Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA.
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- Marc Henrard, 2006. "A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 1-18.
- 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.
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KeywordsSwaption; delta; gamma; computational speed; convergence; Hull-White model; extended Vasiceck model;
- G - Financial Economics
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