Monte Carlo market Greeks in the displaced diffusion Libor market model

被引：3
|
作者：
Joshi, Mark S. [1 ]
Kwon, Oh Kang [2 ]
机构：
[1] Univ Melbourne, Dept Econ, Ctr Actuarial Studies, Melbourne, Vic 3010, Australia
[2] ANZ, Sydney, NSW 2000, Australia
来源：
JOURNAL OF RISK | 2011年 / 14卷 / 02期
关键词：
OPTIONS;
D O I：
10.21314/JOR.2012.239
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper considers the problem of developing the sensitivities of exotic interest rate derivatives to the observed implied volatilities of caps and swaptions. We show how to compute these from the sensitivities to model volatilities in the displaced diffusion Libor market model. The example of a cancelable inverse floater is considered.
引用
收藏
页码：23 / 37
页数：15
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