Closed-form approximations for spread options in Lévy markets
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Publication:6574591
DOI10.1002/asmb.2391MaRDI QIDQ6574591
Jing Yao, Jente Van Belle, Steven Vanduffel
Publication date: 18 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Cites Work
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Related Items (3)
On the sensitivity analysis of spread options using Malliavin calculus ⋮ An efficient unified approach for spread option pricing in a copula market model ⋮ Pricing airbag option via first passage time approach
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