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CMS spread options in quadratic Gaussian model - MaRDI portal

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CMS spread options in quadratic Gaussian model (Q2096154)

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scientific article; zbMATH DE number 7617766
Language Label Description Also known as
English
CMS spread options in quadratic Gaussian model
scientific article; zbMATH DE number 7617766

    Statements

    title
    CMS spread options in quadratic Gaussian model (English)
    0 references
    author
    Parviz Rakhmonov
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    F. Z. Rakhmonov
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    publication date
    16 November 2022
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    zbMATH Keywords
    CMS spread
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    calibration
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    quadratic Gaussian model
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    interest rate model
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    Identifiers

    zbMATH DE Number
    7617766
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    Wikidata QID
    Q114223532
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    OpenAlex ID
    W4296259846
    0 references
     
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