The pricing of basket-spread options (Q5247278)
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scientific article; zbMATH DE number 6429542
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The pricing of basket-spread options |
scientific article; zbMATH DE number 6429542 |
Statements
The pricing of basket-spread options (English)
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23 April 2015
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multi-variate contingent
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derivatives pricing
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Black-Scholes model
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portfolio hedging
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closed-form approximation
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parametric correction
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