Pricing and Hedging Spread Options
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Publication:4442840
DOI10.1137/S0036144503424798zbMath1033.60069MaRDI QIDQ4442840
Valdo Durrleman, René A. Carmona
Publication date: 20 January 2004
Published in: SIAM Review (Search for Journal in Brave)
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G20: Derivative securities (option pricing, hedging, etc.)
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