Fast and accurate pricing and hedging of long-dated CMS spread options

DOI10.1142/S0219024910006029MaRDI QIDQ2786342zbMATH OpenOpenAlexFDO

Authors Mark Joshi, Chao Yang

Publication date 21 September 2010

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024910006029

zbMATH Keywords

Gaussian quadrature ruledeltavegaspread optionmarket skew sensitivity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 2107359 (Why is no real title available?)
• scientific article; zbMATH DE number 236854 (Why is no real title available?)
• Effective Implementation of Generic Market Models
• Interest rate models -- theory and practice. With smile, inflation and credit
• Pricing CMS spread options in a Libor market model
• Pricing and Hedging Spread Options
• The Market Model of Interest Rate Dynamics

Cited in

(5)

• Pricing CMS spread options in a Libor market model
• Fast delta computations in the swap-rate market model
• CMS, CMS spreads and similar options in the multi-factor HJM framework
• CMS spread options in quadratic Gaussian model
• Effective Markovian projection: application to CMS spread options and mid-curve swaptions

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