Dunn, Tim; Schlögl, Erik; Barton, Geoff - Finance Discipline Group, Business School - 2000
Alternative approaches to hedging swaptions are explored and tested by simulation. Hedging methods implied by the Balck … distributions for the hedging profit and loss - even at high rehedging frequencies. This result demonstrates the robustness of the … Black hedging technique and implies that - being simpler and generally better understood by financial practitioners - it …