A general closed-form spread option pricing formula
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More about this item
KeywordsSpread option; Exchange option; Stochastic process; Characteristic function; Fourier inversion; Control variate;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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