Pages that link to "Item:Q4442840"
From MaRDI portal
The following pages link to Pricing and Hedging Spread Options (Q4442840):
Displaying 50 items.
- The hexanomial lattice for pricing multi-asset options (Q272652) (← links)
- Additive subordination and its applications in finance (Q309162) (← links)
- A note on the pricing of multivariate contingent claims under a transformed-gamma distribution (Q315039) (← links)
- On the control of the difference between two Brownian motions: a dynamic copula approach (Q324995) (← links)
- On the control of the difference between two Brownian motions: an application to energy markets modeling (Q324996) (← links)
- Electricity price modeling and asset valuation: a multi-fuel structural approach (Q356476) (← links)
- Unbiased and efficient Greeks of financial options (Q483704) (← links)
- Computing lower bounds on basket option prices by discretizing semi-infinite linear programming (Q518129) (← links)
- An analytic valuation method for multivariate contingent claims with regime-switching volatilities (Q635506) (← links)
- Pricing basket options by polynomial approximations (Q670300) (← links)
- Measuring exposure to dependence risk with random Bernstein copula scenarios (Q723986) (← links)
- Model risk and discretisation of locally risk-minimising strategies (Q730515) (← links)
- Multi-layer model of correlated energy prices (Q847241) (← links)
- Pricing and hedging Asian basket spread options (Q848538) (← links)
- Valuing virtual production capacities on flow commodities (Q857950) (← links)
- Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios (Q1003813) (← links)
- Operator trigonometry of multivariate finance (Q1049542) (← links)
- An efficient method for solving spread option pricing problem: numerical analysis and computing (Q1669206) (← links)
- Pricing spread options with stochastic interest rates (Q1719038) (← links)
- The sum and difference of two lognormal random variables (Q1760859) (← links)
- Stochastic volatility effects on correlated log-normal random variables (Q1798473) (← links)
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models (Q1930421) (← links)
- Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
- Algorithm of calculation of combined commodity options value (Q2132109) (← links)
- Oil futures volatility smiles in 2020: why the Bachelier smile is flatter (Q2165396) (← links)
- A simple derivation of Kirk's approximation for spread options (Q2339057) (← links)
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
- FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS (Q2786342) (← links)
- Merchant Commodity Storage Practice Revisited (Q2795873) (← links)
- Stochastic Volatility and Dependency in Energy Markets: Multi-Factor Modelling (Q2847836) (← links)
- Pricing American options written on two underlying assets (Q2879038) (← links)
- Closed Form Approximations for Spread Options (Q2889600) (← links)
- A generalized variance gamma process for financial applications (Q2893076) (← links)
- A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE (Q2909513) (← links)
- Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets (Q2922151) (← links)
- Pricing of Asian-Type and Basket Options via Bounds (Q2967982) (← links)
- Transmission Valuation Analysis based on Real Options with Price Spikes (Q2974412) (← links)
- Representation and approximation of ambit fields in Hilbert space (Q2974867) (← links)
- Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach (Q3195108) (← links)
- PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS (Q3553257) (← links)
- Pricing Asset Scheduling Flexibility using Optimal Switching (Q3617303) (← links)
- Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion (Q3652695) (← links)
- A mixed C-vine copula model for hedging price and volumetric risk in wind power trading (Q4555165) (← links)
- An Exact Formula for Pricing American Exchange Options with Regime Switching (Q4562482) (← links)
- Bivariate normal mixture spread option valuation (Q4610274) (← links)
- Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps (Q4627095) (← links)
- Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk (Q4682471) (← links)
- Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model (Q4689916) (← links)
- Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework (Q4976513) (← links)
- Revisiting linear and lognormal stochastic volatility models (Q4989150) (← links)
