Closed form approximations for spread options
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Publication:2889600
DOI10.1080/1350486X.2011.567120zbMATH Open1239.91156OpenAlexW1980361765MaRDI QIDQ2889600FDOQ2889600
Authors: Aanand Venkatramanan, Carol Alexander 
Publication date: 8 June 2012
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2011.567120
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Cites Work
Cited In (14)
- Pricing basket options by polynomial approximations
- A simple derivation of Kirk's approximation for spread options
- An exact formula for pricing American exchange options with regime switching
- Bivariate normal mixture spread option valuation
- New analytic approximations for pricing spread options
- Multi-asset spread option pricing and hedging
- Analytic approximation formulae for European crack spread options
- Closed form spread option valuation
- Additive subordination and its applications in finance
- Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
- The pricing of basket-spread options
- A Monte Carlo multi-asset option pricing approximation for general stochastic processes
- Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
- Closed-form approximations for spread options in Lévy markets
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