SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL

DOI10.1142/S0219024901001127zbMath1153.91490OpenAlexW3022044204MaRDI QIDQ3523595

Erik Schlögl, Tim Dun, Geoff Barton

Publication date: 3 September 2008

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

Full work available at URL: https://doi.org/10.1142/s0219024901001127

zbMATH Keywords

simulationhedgingterm structure of interest rateslognormal forward LIBOR model

Mathematics Subject Classification ID

Related Items (3)

On swap rate dynamics: to freeze or not to freeze? ⋮ EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL ⋮ Weak and strong Taylor methods for numerical solutions of stochastic differential equations

Cites Work

• The Pricing of Options and Corporate Liabilities
• Continuous-time term structure models: Forward measure approach
• LIBOR and swap market models and measures
• The Market Model of Interest Rate Dynamics
• Changes of numéraire, changes of probability measure and option pricing

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