Kiesel, Rüdiger; Lutz, Matthias:
Efficient pricing of CMS spread options in a stochastic volatility LMM
In: Journal of Computational Finance, Vol. 14 (2011), No. 4, pp. 37 - 72
2011article/chapter in journal
EconomicsFaculty of Business Administration and Economics » Business Administration » Energy trading and Finance
Title in English:
Efficient pricing of CMS spread options in a stochastic volatility LMM
Author:
Kiesel, RüdigerUDE
GND
172185262
LSF ID
51086
ORCID
0000-0002-3089-2076ORCID iD
Other
connected with university
;Lutz, Matthias
Year of publication:
2011
DOI
10.21314/JCF.2011.231
Scopus ID
84973640207
Language of text:
English
Appears in
Journal of Computational Finance
in:
Vol. 14 (2011), No. 4, pp. 37 - 72
ISSN
1460-1559 Show availability online & print
ISSN
1755-2850 Show availability online & print