Valuation of CMS Spread Options with Nonzero Strike Rates in the LIBOR Market Model

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題名:	Valuation of CMS Spread Options with Nonzero Strike Rates in the LIBOR Market Model
作者:	Wu,TP;Chen,SN
貢獻者:	財務金融學系
關鍵詞:	TERM STRUCTURE;EQUITY SWAPS
日期:	2011
上傳時間:	2012-03-27 19:03:42 (UTC+8)
出版者:	國立中央大學
摘要:	The main purpose of this article is to provide an approximate general pricing formula for CMS spread options that can handle the case of nonzero strike rates. A generalized lognormal distribution is used to approximate the distribution of the difference between. two CMS rates. Pricing models for CMS spread options with nonzero strike rates are then derived under the multifactor LIBOR market model and also shown to be analytically tractable for practical implementation. The models are shown to be robustly accurate in comparison with Monte Carlo simulation.
關聯:	JOURNAL OF DERIVATIVES
顯示於類別:	[財務金融學系] 期刊論文

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