Closed-form approximations for spread options in Lévy markets (Q6574591)
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scientific article; zbMATH DE number 7883122
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-form approximations for spread options in Lévy markets |
scientific article; zbMATH DE number 7883122 |
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Closed-form approximations for spread options in Lévy markets (English)
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18 July 2024
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conditional expectation
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Gaussian quadrature
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Lévy markets
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Margrabe's formula
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stochastic clock
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