Analytical approximation for spread option pricing in local volatility model
Year of publication: |
December 2017
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Authors: | Yang, Ying |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 4, p. 1-17
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Subject: | Analytical approximation | Black-Scholes | spread option | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Derivat | Derivative |
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