Closed form approximations for spread options (Q2889600)
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scientific article; zbMATH DE number 6043668
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| default for all languages | No label defined |
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| English | Closed form approximations for spread options |
scientific article; zbMATH DE number 6043668 |
Statements
Closed Form Approximations for Spread Options (English)
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8 June 2012
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spread options
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exchange options
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American options
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analytical approximation
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Kirk's approximation
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correlation skew
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0.854841947555542
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0.8477820158004761
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0.8439076542854309
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0.8317070603370667
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0.8216530084609985
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