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
Citation:
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Abstract

Working Paper available at:

papers.ssrn.com/sol3/papers.cfm