Pricing of spread options on stochastically correlated underlyings
Year of publication: |
2009
|
---|---|
Authors: | Escobar, Marcos ; Götz, Barbara ; Seco, Luis ; Zagst, Rudi |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 12.2009, 3, p. 31-61
|
Subject: | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Korrelation | Correlation | Derivat | Derivative |
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