Multi-asset spread option pricing and hedging (Q3557572)
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scientific article; zbMATH DE number 5700391
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Multi-asset spread option pricing and hedging |
scientific article; zbMATH DE number 5700391 |
Statements
Multi-asset spread option pricing and hedging (English)
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23 April 2010
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multi-asset spread options
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second-order boundary approximation
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closed-form approximation
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0.8871956467628479
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0.854841947555542
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0.8256948590278625
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0.8244764804840088
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0.8195563554763794
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