CMS spread options articles

gpop · May 26th, 2004, 7:40 am

Anyone knows where I can find these articles ?Mourad Berrahoui: Pricing CMS Spread Options and Digital CMS Spread Options with SmileBernd Appasamy, Stefan Hengstmann, Georg Stapper and Egbert Schark: Pricing CMS Spread Options and Digital CMS Spread Options with SmileThanks for your answer, with Smile !

caroe · May 26th, 2004, 10:14 am

tourkine · May 26th, 2004, 10:48 am

Can you give us a hint, please?

caroe · May 26th, 2004, 10:55 am

They both appear under the heading Technical articles in the list of articles recently published in... Wilmott Magazine

gpop · May 26th, 2004, 11:01 am

In which Wilmott Magazine have you seen them ?

caroe · May 27th, 2004, 6:49 am

I didn't say I have seen the articles in Wilmott magazine - I have seen the titles on a list of recent articles

Lapsilago · April 6th, 2005, 6:34 am

Also did some work on this topic...Tried the following:* assuming bivariate log-normal and computing the price of a CMS caplet/floorlet for the strike y+K under the hypostheses that Swaprate2 = y. Then, integrating with respect to the distribution for Swaprte2* Using a copula to compute the prices. Sklars theorem gives a possiblity to compute the corresponding probs in terms of the copula* Coupling the swap rates via e.g. linear swap rate modelWrote something up but not finished now... If you are interested....

gpop · April 11th, 2005, 11:48 am

Yes Lapsilago, I am interested.Can you post anything ?Does any of your 3 methods works well ?

loliba · May 2nd, 2005, 6:31 am

is it possible to post these papers ? tku !