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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 839-865
Persistent link: https://www.econbiz.de/10008905112
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924254
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Fourier transforms, option pricing and controls
Joshi, Mark S.; Chao Yang - 2011
Persistent link: https://www.econbiz.de/10009419875