Closed form spread option valuation
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Publication:5247234
DOI10.1080/14697688.2011.617775zbMath1402.91755OpenAlexW1975417936MaRDI QIDQ5247234
Petter Bjerksund, Gunnar Stensland
Publication date: 23 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11250/164107
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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