CMS spread options in quadratic Gaussian model

DOI10.1007/S11147-022-09188-WMaRDI QIDQ2096154zbMATH OpenOpenAlexWikidataFDO

Authors Parviz Rakhmonov, F. Z. Rakhmonov

Publication date 16 November 2022

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-022-09188-w

zbMATH Keywords

calibrationCMS spreadinterest rate modelquadratic Gaussian model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• CMS, CMS spreads and similar options in the multi-factor HJM framework
• Conditional Monte Carlo scheme for stable Greeks of worst-of autocallable notes

Cited in

(3)

• Fast and accurate pricing and hedging of long-dated CMS spread options
• Pricing CMS spread options in a Libor market model
• CMS, CMS spreads and similar options in the multi-factor HJM framework

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