CMS Cliquet Option Model

A CMS cliquet option has two legs: One leg of this deal is based on (regular) floating rates. The other leg links to CMS swap rates. Due to the “set-in-arrear” feature in the structured leg, convexity and timing adjustments have to be considered.

Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2025-08-18
DOI
https://doi.org/10.5281/zenodo.6561891
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
0.00
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article

CMS Cliquet Option Model

Zenodo (CERN European Organization for Nuclear Research)
Stochastic processes and financial applications
article

CMS Cliquet Option Model

article en

Abstract

A CMS cliquet option has two legs: One leg of this deal is based on (regular) floating rates. The other leg links to CMS swap rates. Due to the “set-in-arrear” feature in the structured leg, convexity and timing adjustments have to be considered.

Zenodo (CERN European Organization for Nuclear Research)
Openalex Percentile: Top 44%
Stochastic processes and financial applications
DOIOpen Access PDFOpenAlex
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CMS Cliquet Option Model · Zenodo (CERN European Organization for Nuclear Research) (2025) | TGRS Research Map | TGRS