Multi-asset spread option pricing and hedging

DOI10.1080/14697680802626323zbMATH Open1205.91160OpenAlexW3121848533MaRDI QIDQ3557572FDOQ3557572

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

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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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• ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK
• An efficient unified approach for spread option pricing in a copula market model
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