Journal of Computational Finance

Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model

Ralf Korn and Qian Liang


We present two new efficient methods for the Monte Carlo computation of the (cross-) Gammas of a Bermudan swaption in the LIBOR market model. One approach is a combination of the finite difference method with pathwise Deltas whose efficiency benefits from an innovative new version of the adjoint method. In contrast to this method, which incorporates a bias, our second method is based on the pure pathwise method and a robust, accurate unbiased simulation. Numerical examples show the perfectly calculated Gamma matrices of Bermudan swaptions.


Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here