Closed Form Approximations for Spread Options

DOI10.1080/1350486X.2011.567120zbMath1239.91156OpenAlexW1980361765MaRDI QIDQ2889600

Aanand Venkatramanan, Carol Alexander

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2011.567120

zbMATH Keywords

American optionsanalytical approximationspread optionsexchange optionscorrelation skewKirk's approximation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Additive subordination and its applications in finance, An Exact Formula for Pricing American Exchange Options with Regime Switching, Pricing basket options by polynomial approximations, A Monte Carlo multi-asset option pricing approximation for general stochastic processes, The pricing of basket-spread options, Analytic approximation formulae for European crack spread options

Cites Work

• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Pricing and Hedging Spread Options