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Tim Xiao deposited CMS Spread Option Model in the group
Scholarly 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.