Main category
Economics (General Management)
Abstract
A constant maturity swap (CMS) spread option makes payments based on a bounded spread between two index rates (e.g., a GBP CMS rate and a EURO CMS rate). We assume that both the forward GBP and EURO CMS rates follow geometric Brownian motion under their respective T-forward measures.
Further reading
https://ia904704.us.archive.org/3/items/cmsSpreadOption/cmsSpreadOption.pdf
Do you have problems viewing the pdf-file? Download presentation
here
If the presentation contains inappropriate content, please
report the presentation. You will be redirected to the landing page.
