Accurate Vega Calculation for Bermudan Swaptions

DOI10.1007/978-3-319-61282-9_5zbMath1420.91448OpenAlexW2755794836MaRDI QIDQ4626494

Mark Beinker, Sebastian Schlenkrich

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_5

zbMATH Keywords

Bermudan swaptionsvega calculation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives

Uses Software

• dcc
• dco/c++

Cites Work

• Efficient calibration of the Hull White model
• The Art of Differentiating Computer Programs
• Evaluating Derivatives
• Pricing Interest-Rate-Derivative Securities
• Interest rate models -- theory and practice