Pricing CMS spread options and digital CMS spread options with smile-Reference-Cited by-同舟云学术

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Pricing CMS spread options and digital CMS spread options with smile

Published:2004-05 Issue:3 Volume:2004 Page:63-69
ISSN:1540-6962
Container-title:Wilmott
language:en
Short-container-title:Wilmott

Author:

Berrahoui Mourad

Publisher

Wilmott Magazine Ltd

Reference13 articles.

1. and [2003] “Bivariate Normal Mixture Spread Option Valuation” ISMA Centre Discussion Papers in Finance 2003–15.

2. and [2003] “Pricing And Hedging Spread Options in A Log-Normal Model” Working paper.

3. Pricing and Hedging Spread Options

4. Option valuation using the fast Fourier transform

5. and [2002] “Multivariate Option Pricing With Copulas” Working paper.

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