Analytic Approximations for Spread Options
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References listed on IDEAS
- Li, Minqiang, 2008. "Closed-Form Approximations for Spread Option Prices and Greeks," MPRA Paper 6994, University Library of Munich, Germany.
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- Tomáš Václavík & Andrea Klimešová, 2016. "Gas Swing Options: Introduction and Pricing using Monte Carlo Methods," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2016(1), pages 15-32.
- Emmanuel Hanert & Aanand Venkatramanan, 2008. "Meshfree Approximation for Multi-Asset Options," ICMA Centre Discussion Papers in Finance icma-dp2009-07, Henley Business School, Reading University, revised Jun 2009.
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KeywordsSpread options; exchange options; American options; analytic formula; Kirks approximation; correlation skew;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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