I think i'll two methods: -First will be FFT assuming that CMS2Y & CMS10Y governed by geometric BM -second will Bachelier Model assuming the spread (CMS10Y-CMS2Y) governed by arithmetic BM

The Payoff can be written as a sum of CMS Spread digital options. And I want to know if there is a closed formula for this payoff to avoid Monte Carlo Simulations

If I use Monte Carlo simulation, I have to simulate CMS 10Y & CMS2Y for every day. It's very time-consuming.......

Hi All,can u tell me where can i find this paper on the net:Mourad Berrahoui: Pricing CMS Spread Options and Digital CMS Spread Options with Smile

<t>Hi all,I need your help for pricing a product with this payoff: payoff= 7% * n/N where N is the number of days on wich we have (CMS10Y-CMS2Y)> barrier, and n is the number of fixings per Year (daily fixing ==> n ~ 250 ) Maturity: 3Y , and there is no payment before maturity (no coupon during the ...