Publications
Type of Publication: Article in Journal
Efficient pricing of CMS spread options in a stochastic volatility LMM
- Author(s):
- Kiesel, R.; Lutz, M.
- Title of Journal:
- Journal of Computational Finance
- Volume (Publication Date):
- 14 (2010)
- Number of Issue:
- 3
- pages:
- 37-72
- Link to complete version:
- http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1418571
Abstract
Working Paper available at:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1418571