Pricing CMS spread options in a Libor market model (Q3560078)
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scientific article; zbMATH DE number 5709674
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing CMS spread options in a Libor market model |
scientific article; zbMATH DE number 5709674 |
Statements
PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL (English)
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19 May 2010
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CMS spread option
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Margrabes formula
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Libor market model
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0.865110456943512
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0.8456552028656006
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0.8431840538978577
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0.8425939679145813
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0.7850062847137451
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