• Tim Xiao deposited CMS Spread Option Model in the group Group logo of Scholarly CommunicationScholarly Communication on Humanities Commons 3 years, 5 months ago

    A constant maturity swap (CMS) spread option makes payments based on a bounded spread between two index rates (e.g., a GBP CMS rate and a EURO CMS rate). We assume that both the forward GBP and EURO CMS rates follow geometric Brownian motion under their respective T-forward measures.