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PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL - MaRDI portal

PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL (Q3560078)

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PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL
scientific article

    Statements

    title
    PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL (English)
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    author
    Denis Belomestny
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    Anastasia Kolodko
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    publication date
    19 May 2010
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    zbMATH Keywords
    CMS spread option
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    Margrabes formula
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    Libor market model
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    Identifiers

    zbMATH DE Number
    5709674
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    OpenAlex ID
    W1983597936
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