FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS (Q2786342)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS |
scientific article |
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FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS (English)
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21 September 2010
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spread option
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Gaussian quadrature rule
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delta
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vega
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market skew sensitivity
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