Why do IR bermudan options have negative vega on midcurve? Does it have something to do with mean reversion and a way of lower the price vs market prices?

  • 1
    $\begingroup$ do you mean negative vega across the whole ATM vol-grid, or just for specific expiry-tenor points? It'll be more useful if you can provide more details such as the call-periods of the Bermudan, versus the vega grid. $\endgroup$ – Kiann May 9 '19 at 7:45
  • $\begingroup$ so say you are long 10nc2 berm. what would the vega profile look like? are you short vega anywhere? and how does mean reversion factor impact the berm price? $\endgroup$ – RKCheck May 11 '19 at 17:32

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.