Pricing and Hedging Spread Options (Q4442840)

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scientific article; zbMATH DE number 2030573
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English
Pricing and Hedging Spread Options
scientific article; zbMATH DE number 2030573

    Statements

    title
    Pricing and Hedging Spread Options (English)
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    author
    Valdo Durrleman
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    René A. Carmona
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    published in
    SIAM Review
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    publication date
    20 January 2004
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    zbMATH DE Number
    2030573
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    zbMATH Keywords
    spread options
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    energy markets
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    pricing and hedging
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