In times of financial crisis, solvency concerns are reflected in market prices for financial
instruments. Credit default swap (CDS) spreads provide a direct measure of the market's …

ABSTRACT COVID-19 not only led to a significant loss of human lives but also brought
indelible economic loss. To transfer the natural disaster risk, a variety of financial …

We present a fast method to price and hedge CMS spread options in the displaced-diffusion
co-initial swap market model. Numerical tests demonstrate that we are able to obtain …

A generalized lognormal distribution is used to approximate the distribution of the difference
between two CMS rates. Pricing models for CMS spread options with nonzero strike rates …

The standard assumption for an underlying asset's returns process is the lognormal
diffusion. This works quite well for individual assets. Portfolios and indexes present a …

This study adopts the unbounded-system distribution of the Johnson (1949) distribution
family to approximate the basket/spread distribution and derive a versatile pricing model …

Much real-world research on options has focused on the Black–Scholes implied volatility
smile/skew. What causes it? How does it behave? What information does it contain, and can …

Abstract Based on the Chen, Hsieh, and Huang (2017) interest rate model, this research
explores the analytical approach for pricing CMS spread options. We first derive a complex …

An interest rate swap involves an exchange of cash payments calculated by applying two
different interest rates to the same notional principal. In a constant maturity swap (CMS), one …

Barrier caps, floors and swaptions are priced in a closed form via the time-changed
technique under the market models. The model parameters can be easily extracted from …