A Fourier Transform Method for Spread Option Pricing
نویسندگان
چکیده
منابع مشابه
A Fourier Transform Method for Spread Option Pricing
Spread options are a fundamental class of derivative contracts written on multiple assets and are widely traded in a range of financial markets. There is a long history of approximation methods for computing such products, but as yet there is no preferred approach that is accurate, efficient, and flexible enough to apply in general asset models. The present paper introduces a new formula for ge...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2010
ISSN: 1945-497X
DOI: 10.1137/090750421