Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model

Ralf Korn and Qian Liang

Journal of Computational Finance

Abstract: ABSTRACT We present two new efficient methods for the Monte Carlo computation of the (cross-) Gammas of a Bermudan swaption in the LIBOR market model. One approach is a combination of the finite difference method with pathwise Deltas whose efficiency benefits from an innovative new version of the adjoint method. In contrast to this method, which incorporates a bias, our second method is based on the pure pathwise method and a robust, accurate unbiased simulation. Numerical examples show the perfectly calculated Gamma matrices of Bermudan swaptions. Corrigendum

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-computational-fina ... e-libor-market-model (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ0:2330315

Access Statistics for this article

More articles in Journal of Computational Finance from Journal of Computational Finance
Bibliographic data for series maintained by Thomas Paine ().