Analytic Approximations for Spread Options
Year of publication: |
2007-08
|
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Authors: | Alexander, Carol ; Venkatramanan, Aanand |
Institutions: | Henley Business School, University of Reading |
Subject: | Spread options | exchange options | American options | analytic formula | Kirks approximation | correlation skew |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number icma-dp2009-06 22 pages |
Classification: | C02 - Mathematical Methods ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General |
Source: |
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