Effective Markovian projection: application to CMS spread options and mid-curve swaptions

DOI10.1080/14697688.2022.2043558zbMath1491.91144OpenAlexW4220778740MaRDI QIDQ5079407

M. Felpel, Thomas Andrew McWalter, J. Kienitz

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2043558

zbMATH Keywords

stochastic volatilityapproximation formulaSABRMarkovian projectioneffective PDEZABR

Mathematics Subject Classification ID

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

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