CMS Spread Options Pricing under the CHH Model

Ren-Raw Chen, Xiaowei Li and Pei-Lin Hsieh
The Journal of Fixed Income Spring 2023, jfi.2023.1.155; DOI: https://doi.org/10.3905/jfi.2023.1.155

Article Information

jfi.2023.1.155
DOI 
https://doi.org/10.3905/jfi.2023.1.155
Published By 
Pageant Media Ltd
Print ISSN 
1059-8596
Online ISSN 
2168-8648
History 
  • Published online February 2, 2023.
Copyright & Usage 
© 2023 Pageant Media Ltd

Author Information

  1. Ren-Raw Chen
    1. is a professor of finance at the Gabelli School of Business at Fordham University in New York, NY. (rchen{at}fordham.edu)
  2. Xiaowei Li
    1. is a doctoral student at the Department of Finance of the School of Economics at Xiamen University in Xiamen, China. (lxw_studyemail{at}163.com)
  3. Pei-Lin Hsieh
    1. is an associate professor at the Department of Finance, School of Management, National Central University, Taoyuan, Taiwan, R.O.C. (ph77{at}cornell.edu)
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CMS Spread Options Pricing under the CHH Model
Ren-Raw Chen, Xiaowei Li, Pei-Lin Hsieh
The Journal of Fixed Income Feb 2023, jfi.2023.1.155; DOI: 10.3905/jfi.2023.1.155
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