A note on closed-form spread option valuation under log-normal models

DOI10.1080/14697688.2024.2414761MaRDI QIDQ7014835zbMATH OpenFDO

Authors Nuerxiati Abudurexiti, Kai He, Dongdong Hu, Hasanjan Sayit

Publication date 10 March 2025

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2024.2414761

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A Fourier transform method for spread option pricing
• A general version of the fundamental theorem of asset pricing
• A stochastic calculus model of continuous trading: Complete markets
• Approximating the Riemann-Stieltjes integral by a trapezoidal quadrature rule with applications
• Arbitrage pricing theory and risk-neutral measures
• Closed form spread option valuation
• General closed-form basket option pricing bounds
• Handbooks in operations research and management science: Financial engineering
• scientific article; zbMATH DE number 1724307 (Why is no real title available?)
• Pricing and Hedging Spread Options
• Risk-neutral pricing for arbitrage pricing theory

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