Multi-asset spread option pricing and hedging

DOI10.1080/14697680802626323MaRDI QIDQ3557572zbMATH OpenOpenAlexFDO

Authors Minqiang Li, Jieyun Zhou, Shi-Jie Deng

Publication date 23 April 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/8259/1/MPRA_paper_8259.pdf

zbMATH Keywords

closed-form approximationsecond-order boundary approximationmulti-asset spread options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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• CMS spread options in quadratic Gaussian model
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