A Fourier Transform Method for Spread Option Pricing (Q3563689)

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A Fourier Transform Method for Spread Option Pricing
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    title
    A Fourier Transform Method for Spread Option Pricing (English)
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    DOI
    10.1137/090750421
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    author
    T. R. Hurd
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    Zhuowei Zhou
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    publication date
    1 June 2010
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    Mathematics Subject Classification ID
    91G20
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    60H35
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    33B15
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    65T50
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    zbMATH DE Number
    5714644
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    zbMATH Keywords
    spread options
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    multivariate spread options
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    jump diffusions
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    fast Fourier transform
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    gamma function
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    OpenAlex ID
    W2015433547
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    arXiv ID
    0902.3643
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