Cms, Cms Spreads And Similar Options In The Multi-Factor Hjm Framework
AbstractConstant maturity swaps (CMS) and CMS spread options are analysed in the multi-factor HJM framework. For Gaussian models, which include a version of the Libor Market Models and the G2++ model, explicit approximated pricing formulae are provided. Two approximating approaches are proposed: an exact solution to an approximated equation and an approximated solution to the exact equation. The first approach borrows from previous literature on other models; the second approach is new. For the latter, the price approximation errors are smaller than in the previous literature and negligible in practice. These approaches are being used here to price standard CMS and CMS spreads and can be used for other European exotic products.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.
Volume (Year): 15 (2012)
Issue (Month): 07 ()
Contact details of provider:
Web page: http://www.worldscinet.com/ijtaf/ijtaf.shtml
Find related papers by JEL classification:
- G2+ - Financial Economics - - Financial Institutions and Services - - -
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).
If references are entirely missing, you can add them using this form.