IMPLIED VOLATILITY: Smiling at convexity - The price of a constant maturity swap (CMS)-based derivative is largely determined by the value of swaption volatilities at extreme strikes. The authors propose a simple procedure for stripping consistently implied volatilities and CMS adjustments from the market quotes of swaption smiles and CMS swap spreads.
| Year of publication: |
2006
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|---|---|
| Authors: | Mercurio, Fabio ; Pallavicinl, Andrea |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 8, p. 64-69
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