The CMS Triangle Arbitrage-Reference-Cited by-同舟云学术

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The CMS Triangle Arbitrage

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

Author:

McCloud Paul

Publisher

Elsevier BV

Reference3 articles.

1. An introduction to copulas" Springer Lecture Notes in Statistics;R B Nelsen;Multivariate option pricing with copulas,1998

2. Pricing CMS spread options and digital CMS spread options with smile" Wilmott magazine;M N Bennett;abstract=412441, 2003. M. Berrahoui,2004

3. Local Time for the SABR Model: Connection with the 'Complex' Black Scholes and Application to CMS and Spread Options

Cited by 1 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. Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals;SSRN Electronic Journal;2012

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