Journal of Computational Finance

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Corrigendum

Ralf Korn and Qian Liang

Correction to:

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.

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