A general closed-form spread option pricing formula
Ruggero Caldana; Gianluca Fusai
| Year of publication: |
2013
|
|---|---|
| Authors: | Caldana, Ruggero ; Fusai, Gianluca |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 12, p. 4893-4906
|
| Subject: | Spread option | Exchange option | Stochastic process | Characteristic function | Fourier inversion | Control variate | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010342187