FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS
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Publication:2786342
DOI10.1142/S0219024910006029zbMath1233.91280OpenAlexW3123060503MaRDI QIDQ2786342
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
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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