PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL

DOI10.1142/S021902491000567XzbMath1203.91281OpenAlexW1983597936MaRDI QIDQ3560078

Denis Belomestny, Anastasia Kolodko, John G. M. Schoenmakers

Publication date: 19 May 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/s021902491000567x

zbMATH Keywords

Libor market modelCMS spread optionMargrabes formula

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

• LIBOR and swap market models and measures
• Robust Libor Modelling and Pricing of Derivative Products
• Financial Derivatives in Theory and Practice

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