Closed-form approximations for spread options in Lévy markets
type: Item
instance of: scholarly article
title: Closed-form approximations for spread options in Lévy markets
author: Jente Van Belle
author: Steven Vanduffel
author: Jing Yao
published in: Applied Stochastic Models in Business and Industry
publication date: 2024-07-18T00:00:00Z
Mathematics Subject Classification ID: 62-XX
zbMATH DE Number: 7883122
zbMATH Keywords: conditional expectation
zbMATH Keywords: Gaussian quadrature
zbMATH Keywords: Lévy markets
zbMATH Keywords: Margrabe's formula
zbMATH Keywords: stochastic clock
MaRDI profile type: Publication
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DOI: 10.1002/ASMB.2391
description: scientific article; zbMATH DE number 7883122