FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS

DOI10.1142/S0219024910006029zbMath1233.91280OpenAlexW3123060503MaRDI QIDQ2786342

Mark S. Joshi, Chao Yang

Publication date: 21 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910006029

zbMATH Keywords

Gaussian quadrature ruledeltavegaspread optionmarket skew sensitivity

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Fast delta computations in the swap-rate market model ⋮ CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK

Cites Work

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• Interest rate models -- theory and practice. With smile, inflation and credit
• PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL
• The Market Model of Interest Rate Dynamics
• Pricing and Hedging Spread Options
• Effective Implementation of Generic Market Models

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