Multi-asset spread option pricing and hedging
Year of publication: |
2010
|
---|---|
Authors: | Li, Minqiang ; Zhou, Jieyun ; Deng, Shi-Jie |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 3, p. 305-324
|
Publisher: |
Taylor & Francis Journals |
Subject: | Multi-asset spread options | Second-order boundary approximation | Closed-form approximation |
-
Maximum likelihood estimation of partially observed diffusion models
Kleppe, Tore Selland, (2014)
-
Closed-form approximation of perpetual timer option prices
Li, Minqiang, (2014)
-
A closed-form approximation for pricing geometric Istanbul options
Kacef, Mohamed Amine, (2020)
- More ...
-
Closed-form approximations for spread option prices and greeks
Li, Minqiang, (2008)
-
CLOSED-FORM APPROXIMATIONS FOR SPREAD OPTION PRICES AND GREEKS
Li, Minqiang, (2008)
-
Multi-Asset Spread Option Pricing and Hedging
Li, Minqiang, (2007)
- More ...