A Fourier Transform Method for Spread Option Pricing (Q3563689)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Fourier Transform Method for Spread Option Pricing |
scientific article |
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A Fourier Transform Method for Spread Option Pricing (English)
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1 June 2010
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spread options
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multivariate spread options
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jump diffusions
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fast Fourier transform
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gamma function
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