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