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 - Yield co - Document - PDFSEARCH.IO

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	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 Document Date: 2013-08-05 02:23:08 Open Document File Size: 321,38 KB Share Result on Facebook Currency pence / / IndustryTerm energy markets / analytical solution / / OperatingSystem Hurd / / Person CHAO YANG / Al Al Al Al / Dempster / Al D Ai / MARK JOSHI / CHAO YANG A BSTRACT / Vega / Hong / Al Al / / Position Hunter / / Product T10 / / ProvinceOrState Yt / / Technology WAP / following algorithm / simulation / following algorithms / Rank-2 algorithm / / SocialTag Mathematical finance Contract law Annuity Life annuity LIBOR market model Yield curve Option Derivative Swap Financial economics

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