Closed Form Approximations for Spread Options (Q2889600)
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scientific article; zbMATH DE number 6043668
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed Form Approximations for Spread Options |
scientific article; zbMATH DE number 6043668 |
Statements
Closed Form Approximations for Spread Options (English)
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8 June 2012
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spread options
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exchange options
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American options
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analytical approximation
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Kirk's approximation
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correlation skew
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