HANTON, PIERRE; HENRARD, MARC - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250048-1
Constant maturity swaps (CMS) and CMS spread options are analysed in the multi-factor HJM framework. For Gaussian models, which include a version of the Libor Market Models and the G2++ model, explicit approximated pricing formulae are provided. Two approximating approaches are proposed: an...