An efficient unified approach for spread option pricing in a copula market model (Q6549601)
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scientific article; zbMATH DE number 7859341
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| default for all languages | No label defined |
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| English | An efficient unified approach for spread option pricing in a copula market model |
scientific article; zbMATH DE number 7859341 |
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An efficient unified approach for spread option pricing in a copula market model (English)
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4 June 2024
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copula function
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affine process
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spread options
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0.7933896780014038
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0.7596561312675476
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0.7496262192726135
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0.746853232383728
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