FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS MARK JOSHI AND CHAO YANG A BSTRACT. We present a fast method to price and hedge CMS spread options in the displaced-diffusion co-initial swap market

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Date: 2013-08-05 02:23:08 Mathematical finance Contract law Annuity Life annuity LIBOR market model Yield curve Option Derivative Swap Financial economics Investment Finance		FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS MARK JOSHI AND CHAO YANG A BSTRACT. We present a fast method to price and hedge CMS spread options in the displaced-diffusion co-initial swap market Add to Reading List Source URL: fbe.unimelb.edu.au Download Document from Source Website File Size: 321,38 KB Share Document on Facebook

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