Fast and accurate pricing and hedging of long-dated CMS spread options (Q2786342)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Fast and accurate pricing and hedging of long-dated CMS spread options |
scientific article; zbMATH DE number 5789822
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Fast and accurate pricing and hedging of long-dated CMS spread options |
scientific article; zbMATH DE number 5789822 |
Statements
21 September 2010
0 references
spread option
0 references
Gaussian quadrature rule
0 references
delta
0 references
vega
0 references
market skew sensitivity
0 references
Fast and accurate pricing and hedging of long-dated CMS spread options (English)
0 references
0.8425939679145813
0 references
0.8272355794906616
0 references
0.8107507824897766
0 references
0.7593652009963989
0 references
0.7575085163116455
0 references
