Multi-asset spread option pricing and hedging
From MaRDI portal
Publication:3557572
Recommendations
Cited in
(26)- Option pricing and portfolio hedging under the mixed hedging strategy
- Commodity spread option with cointegration
- CMS spread options in quadratic Gaussian model
- A simple derivation of Kirk's approximation for spread options
- Closed form approximations for spread options
- Asymptotics beats Monte Carlo: the case of correlated local vol baskets
- Pricing and hedging basket options with exact moment matching
- A Fourier transform method for spread option pricing
- Multi-asset American options and parallel quantization
- Pricing and Hedging Spread Options
- A moment-based analytic approximation of the risk-neutral density of American options
- The impact of cointegration on commodity spread options
- Analytic approximations for multi-asset option pricing
- New analytic approximations for pricing spread options
- Pricing exchange options with correlated jump diffusion processes
- General closed-form basket option pricing bounds
- A Monte Carlo multi-asset option pricing approximation for general stochastic processes
- Closed form spread option valuation
- The pricing of basket-spread options
- scientific article; zbMATH DE number 6452941 (Why is no real title available?)
- ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK
- Pricing vulnerable basket spread options with liquidity risk
- An efficient unified approach for spread option pricing in a copula market model
- Pricing basket options by polynomial approximations
- Pricing basket options with the first three moments of the basket: log-normal models and beyond
- Pricing and hedging Asian basket spread options
This page was built for publication: Multi-asset spread option pricing and hedging
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3557572)
