Swaptions: 1 Price, 10 Deltas, and… 6 1/2 Gammas*: Wilmott Magazine Article

Swaptions: 1 Price, 10 Deltas, and… 6 1/2 Gammas*: Wilmott Magazine Article Marc Henrard In practice, option pricing models are calibrated using market prices of liquid instruments. Consequently for these instruments, all the models give the same price. But the risk implied by them can be widely different. This note compares simple risk measures (first …

Swaptions: 1 Price, 10 Deltas, and… 6 1/2 Gammas*: Wilmott Magazine Article Read More ┬╗