Akume, Daniel ; Luderer, Bernd : Einige Aspekte der Bewertung von Swaptions
- Author(s):
-
Akume, Daniel
Luderer, Bernd
- Title:
- Einige Aspekte der Bewertung von Swaptions
- Electronic source:
-
application/postscript
- Preprint series:
- Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 15, 2001
- Mathematics Subject Classification:
-
91B28 [ Finance, portfolios, investment ] 00A69 [ General applied mathematics ] - Abstract:
- The aim of this paper is to illustrate some techniques in pricing interest rate swaptions, where we discuss the valuation of swaptions following the modified Black model. Finally, we discuss the risk parameters and hedging strategies as applicable to swaptions.
- Keywords:
- black model, interest rate, swap, swaption, hedging
- Language:
-
English
- Publication time:
- 11 / 2001
