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The Journal of Derivatives

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Valuation of CMS Spread Options with Nonzero Strike
Rates in the LIBOR Market Model

Ting-Pin Wu and Son-Nan Chen
The Journal of Derivatives Fall 2011, 19 (1) 41-55; DOI: https://doi.org/10.3905/jod.2011.19.1.041
Ting-Pin Wu
is an associate professor in the Department of Finance at National Central University in Taiwan.
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  • For correspondence: wutingpin@gmail.com
Son-Nan Chen
is a professor of finance at the Shanghai Advanced Institute of Finance at Shanghai Jiao Tong University in China.
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  • For correspondence: slchen@nccu.edu.tw
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Article Information

vol. 19 no. 1 41-55
DOI 
https://doi.org/10.3905/jod.2011.19.1.041

Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online August 31, 2011.

Copyright & Usage 
© 2011 Pageant Media Ltd

Author Information

  1. Ting-Pin Wu
    1. is an associate professor in the Department of Finance at National Central University in Taiwan. (wutingpin{at}gmail.com)
  2. Son-Nan Chen
    1. is a professor of finance at the Shanghai Advanced Institute of Finance at Shanghai Jiao Tong University in China. (slchen{at}nccu.edu.tw)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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The Journal of Derivatives: 19 (1)
The Journal of Derivatives
Vol. 19, Issue 1
Fall 2011
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Valuation of CMS Spread Options with Nonzero Strike
Rates in the LIBOR Market Model
Ting-Pin Wu, Son-Nan Chen
The Journal of Derivatives Aug 2011, 19 (1) 41-55; DOI: 10.3905/jod.2011.19.1.041

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Valuation of CMS Spread Options with Nonzero Strike
Rates in the LIBOR Market Model
Ting-Pin Wu, Son-Nan Chen
The Journal of Derivatives Aug 2011, 19 (1) 41-55; DOI: 10.3905/jod.2011.19.1.041
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  • Article
    • Abstract
    • THE MODEL
    • VALUATION OF CMS SPREAD OPTIONS
    • PARAMETER CALIBRATION AND NUMERICAL EXAMPLES
    • CONCLUSION
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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