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Option pricing theory
3
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Journal of mathematical finance
Energy economics
4
ICMA Centre Discussion Papers in Finance
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3
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A stochastic correlation model with time change for pricing credit
spread
options
Tong, Zhigang
;
Liu, Allen
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 445-466
Persistent link: https://www.econbiz.de/10011673996
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2
A general closed form approximation pricing formula for basket and multi-asset
spread
options
Pellegrino, Tommaso
- In:
Journal of mathematical finance
6
(
2016
)
5
,
pp. 944-974
Persistent link: https://www.econbiz.de/10011658120
Saved in:
3
A simple generalisation of Kirk's approximation for multi-asset
spread
options
by the Lie-Trotter operator splitting method
Lo, Chi-fai
- In:
Journal of mathematical finance
4
(
2014
)
3
,
pp. 178-187
Persistent link: https://www.econbiz.de/10010400107
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