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- W3123060503 abstract "We present a fast method to price and hedge CMS spread options in the displaced-diffusion co-initial swap market model. Numerical tests demonstrate that we are able to obtain sufficiently accurate prices and Greeks with computational times measured in milliseconds. Further, we find that CMS spread options are weakly dependent on the at-the-money Black implied volatility skews." @default.
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- W3123060503 date "2010-09-01" @default.
- W3123060503 modified "2023-09-27" @default.
- W3123060503 title "FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS" @default.
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- W3123060503 doi "https://doi.org/10.1142/s0219024910006029" @default.
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