Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Ralf Korn and Qian Liang
The 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.