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The pricing of basket-spread options - MaRDI portal

The pricing of basket-spread options (Q5247278)

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scientific article; zbMATH DE number 6429542
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English
The pricing of basket-spread options
scientific article; zbMATH DE number 6429542

    Statements

    title
    The pricing of basket-spread options (English)
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    author
    Chun-Sing Lau
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    Chi-Fai Lo
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    publication date
    23 April 2015
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    zbMATH Keywords
    multi-variate contingent
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    derivatives pricing
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    Black-Scholes model
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    portfolio hedging
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    closed-form approximation
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    parametric correction
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    62P05
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    62E17
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    zbMATH DE Number
    6429542
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    OpenAlex ID
    W1966724979
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