Closed form spread option valuation
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- repec:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500177 is not listed on IDEAS
- Jing Li & Lingfei Li & Rafael Mendoza-Arriaga, 2016. "Additive subordination and its applications in finance," Finance and Stochastics, Springer, vol. 20(3), pages 589-634, July.
- Tommaso Paletta & Arturo Leccadito & Radu Tunaru, 2013. "Pricing and Hedging Basket Options with Exact Moment Matching," Papers 1312.4443, arXiv.org.
- Chris Kenyon & Mourad Berrahoui & Benjamin Poncet, 2017. "Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL," Papers 1710.03161, arXiv.org.
- Green, Rikard, 2015. "No 2015:3 Closed Form Valuation of Three-Asset Spread Options With a view towards Clean Dark Spreads," Knut Wicksell Working Paper Series 2015/3, Lund University, Knut Wicksell Centre for Financial Studies.
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More about this item
KeywordsSpread option; closed form; valuation formula; lognormal asset prices;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-12-09 (All new papers)
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