Option Valuation in Multivariate SMM/SABR Models (with an Application to the CMS Spread)-Reference-Cited by-同舟云学术

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Option Valuation in Multivariate SMM/SABR Models (with an Application to the CMS Spread)

Published:2010 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Kienitz Joerg,Wittke Manuel

Publisher

Elsevier BV

Reference13 articles.

1. Spread Option Valuation and the Fast Fourier Transform

2. Options and futures evaluation with deterministic volatilities;F Jamshidian;Mathematical Finance,1999

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Option pricing: Stock price, stock velocity and the acceleration Lagrangian;Physica A: Statistical Mechanics and its Applications;2014-12

2. Pricing Multiasset Cross-Currency Options;Journal of Futures Markets;2012-12-21

3. A Note on the Equivalence between the Normal and the Lognormal Implied Volatility: A Model Free Approach;SSRN Electronic Journal;2011

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