Fast and accurate pricing and hedging of long-dated CMS spread options (Q2786342)
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scientific article; zbMATH DE number 5789822
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast and accurate pricing and hedging of long-dated CMS spread options |
scientific article; zbMATH DE number 5789822 |
Statements
21 September 2010
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spread option
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Gaussian quadrature rule
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delta
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vega
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market skew sensitivity
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Fast and accurate pricing and hedging of long-dated CMS spread options (English)
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