Pricing and Hedging Spread Options
We survey theoretical and computational problems associated with the pricing and hedging of spread options. These options are ubiquitous in the financial markets, whether they be equity, fixed income, foreign exchange, commodities, or energy markets. As a matter of introduction, we present a general...
| Veröffentlicht in: | SIAM Review. - Society for Industrial and Applied Mathematics, 1959. - 45(2003), 4, Seite 627-685 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
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2003
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| Zugriff auf das übergeordnete Werk: | SIAM Review |
| Schlagworte: | Spread options Energy markets Derivative pricing theory Closed form approximations Business Physical sciences Mathematics Economics Applied sciences |
| Online verfügbar |
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