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Modifying the LMM to price constant maturity swaps

Authors :
Wu, Ting-Pin
Chen, Son-Nan
Source :
Journal of Derivatives. Winter, 2010, Vol. 18 Issue 2, p20, 13 p.
Publication Year :
2010

Abstract

Within the framework of the LIBOR market model, this article presents a new approach for finding the approximate distribution of constant maturity swap (CMS) rates under forward martingale measures. With [...]

Subjects

Subjects :
Swaps (Finance) -- Analysis
London Interbank Offered Rate -- Analysis
Pricing -- Analysis
Product price
Banking, finance and accounting industries
Business

Details

Language :
English
ISSN :
10741240
Volume :
18
Issue :
2
Database :
Gale General OneFile
Journal :
Journal of Derivatives
Publication Type :
Academic Journal
Accession number :
edsgcl.244158633

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