CMS spread options in quadratic Gaussian model
Year of publication: |
2022
|
---|---|
Authors: | Rakhmonov, Parviz ; Rakhmonov, Firuz |
Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 25.2022, 3, p. 283-291
|
Subject: | calibration | CMS spread | interest rate model | Quadratic Gaussian model | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Zins | Interest rate |
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