Matches in SemOpenAlex for { <https://semopenalex.org/work/W2111072659> ?p ?o ?g. }
Showing items 1 to 65 of
65
with 100 items per page.
- W2111072659 abstract "In this paper we develop a fast yet accurate formula for pricing CMS spread options in a popular class of Libor market models with stochastic volatility. This formula makes it feasible to include quoted CMS spread option prices in the general calibration procedure and by this means to recover the correlation information contained in the market. Our approach is based on a new method for the fast evaluation of the density of an integrated Cox-Ingersoll-Ross (CIR) process. Combined with approximations for the swap-rate dynamics, this results in a semi-analytical formula for CMS spread option prices. Numerical experiments demonstrate the accuracy this formula." @default.
- W2111072659 created "2016-06-24" @default.
- W2111072659 creator A5036745495 @default.
- W2111072659 creator A5090869791 @default.
- W2111072659 date "2010-01-01" @default.
- W2111072659 modified "2023-09-27" @default.
- W2111072659 title "Efficient Pricing of CMS Spread Options in a Stochastic Volatility LMM" @default.
- W2111072659 cites W1525526370 @default.
- W2111072659 cites W1557167414 @default.
- W2111072659 cites W1564971758 @default.
- W2111072659 cites W1591598797 @default.
- W2111072659 cites W1815463019 @default.
- W2111072659 cites W1957823995 @default.
- W2111072659 cites W2015433547 @default.
- W2111072659 cites W2027451107 @default.
- W2111072659 cites W2123733080 @default.
- W2111072659 cites W2133368171 @default.
- W2111072659 cites W2135094424 @default.
- W2111072659 cites W2148080284 @default.
- W2111072659 cites W2158110331 @default.
- W2111072659 cites W3000476676 @default.
- W2111072659 cites W44354168 @default.
- W2111072659 cites W99655254 @default.
- W2111072659 doi "https://doi.org/10.2139/ssrn.1418571" @default.
- W2111072659 hasPublicationYear "2010" @default.
- W2111072659 type Work @default.
- W2111072659 sameAs 2111072659 @default.
- W2111072659 citedByCount "6" @default.
- W2111072659 countsByYear W21110726592012 @default.
- W2111072659 crossrefType "journal-article" @default.
- W2111072659 hasAuthorship W2111072659A5036745495 @default.
- W2111072659 hasAuthorship W2111072659A5090869791 @default.
- W2111072659 hasConcept C106159729 @default.
- W2111072659 hasConcept C144133560 @default.
- W2111072659 hasConcept C149782125 @default.
- W2111072659 hasConcept C162324750 @default.
- W2111072659 hasConcept C194483076 @default.
- W2111072659 hasConcept C24189920 @default.
- W2111072659 hasConcept C85393063 @default.
- W2111072659 hasConcept C91602232 @default.
- W2111072659 hasConceptScore W2111072659C106159729 @default.
- W2111072659 hasConceptScore W2111072659C144133560 @default.
- W2111072659 hasConceptScore W2111072659C149782125 @default.
- W2111072659 hasConceptScore W2111072659C162324750 @default.
- W2111072659 hasConceptScore W2111072659C194483076 @default.
- W2111072659 hasConceptScore W2111072659C24189920 @default.
- W2111072659 hasConceptScore W2111072659C85393063 @default.
- W2111072659 hasConceptScore W2111072659C91602232 @default.
- W2111072659 hasLocation W21110726591 @default.
- W2111072659 hasOpenAccess W2111072659 @default.
- W2111072659 hasPrimaryLocation W21110726591 @default.
- W2111072659 hasRelatedWork W2071907379 @default.
- W2111072659 hasRelatedWork W2111905316 @default.
- W2111072659 hasRelatedWork W2142717491 @default.
- W2111072659 hasRelatedWork W2342252171 @default.
- W2111072659 hasRelatedWork W2762454022 @default.
- W2111072659 hasRelatedWork W3095372661 @default.
- W2111072659 hasRelatedWork W3121720716 @default.
- W2111072659 hasRelatedWork W3125922718 @default.
- W2111072659 hasRelatedWork W3146531118 @default.
- W2111072659 hasRelatedWork W3198549451 @default.
- W2111072659 isParatext "false" @default.
- W2111072659 isRetracted "false" @default.
- W2111072659 magId "2111072659" @default.
- W2111072659 workType "article" @default.