Corrigendum

Ralf Korn and Qian Liang

Journal of Computational Finance

Abstract: Correction to: Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market modelRalf Korn and Qian LiangThe Journal of Computational Finance 17(3), 87-110 Following publication of this paper a flaw in a suggested pure pathwise method for calculating the (cross-) Gammas of a Bermudan swaption in the London interbank offered rate (LIBOR) market model was found. The reason is an incorrect interchange of expectation and differentiation. Further information is provided below. Please click here to download the PDF ;

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