Closed-form approximations for spread options in Lévy markets
From MaRDI portal
Publication:6574591
DOI10.1002/ASMB.2391MaRDI QIDQ6574591FDOQ6574591
Authors: Jente Van Belle, Steven Vanduffel, Jing Yao 
Publication date: 18 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- The value of an Asian option
- A general control variate method for option pricing under Lévy processes
- Processes of normal inverse Gaussian type
- Hyperbolic distributions in finance
- The Variance Gamma Process and Option Pricing
- Pricing and hedging Asian basket spread options
- Pricing and Hedging Spread Options
- Title not available (Why is that?)
- Closed form approximations for spread options
- A Fourier transform method for spread option pricing
- Closed form spread option valuation
- Unbounded liabilities, capital reserve requirements and the taxpayer put option
- Pricing of arithmetic basket options by conditioning.
- Analytic bounds and approximations for annuities and Asian options
- Title not available (Why is that?)
- The valuation of structured products using Markov chain models
- Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
- A multivariate jump-driven financial asset model
- Stock returns and hyperbolic distributions
- Suboptimal Kronrod extension formulae for numerical quadrature
- The hurdle-race problem.
- Margrabe's option to exchange in a Paretian-stable subordinated market.
- On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality
Cited In (3)
This page was built for publication: Closed-form approximations for spread options in Lévy markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6574591)
