Fast and accurate pricing and hedging of long-dated CMS spread options
Mark Joshi and Chao Yang
| Year of publication: |
2010
|
|---|---|
| Authors: | Joshi, Mark S. ; Chao Yang |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 13.2010, 6, p. 839-865
|
| Subject: | Optionspreistheorie | Option pricing theory | Hedging | Swap | Numerisches Verfahren | Numerical analysis | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Constant Maturity Swap |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008905112