CMS spread options in quadratic Gaussian model

DOI10.1007/S11147-022-09188-WzbMath1501.91168OpenAlexW4296259846WikidataQ114223532 ScholiaQ114223532MaRDI QIDQ2096154

Parviz Rakhmonov, Firuz Rakhmonov

Publication date: 16 November 2022

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-022-09188-w

zbMATH Keywords

calibrationinterest rate modelCMS spreadquadratic Gaussian model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK
• CONDITIONAL MONTE CARLO SCHEME FOR STABLE GREEKS OF WORST-OF AUTOCALLABLE NOTES

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