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Multi-Asset Spread Option Pricing and Hedging · Study

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ArticleMulti-Asset Spread Option Pricing and Hedging

Minqiang Li2007

OA

Articlegreen2007

Multi-Asset Spread Option Pricing and Hedging

Minqiang Li · Jieyun Zhou · Shijie Deng

53 citations·0/0 files stored·Quantitative Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER 1982Approximate option valuation for arbitrary stochastic processes 2003Pricing and Hedging Spread Options 2001Exotic electricity options and the valuation of electricity generation and transmission assets 2000Indexed executive stock options 2008Closed-Form Approximations for Spread Option Prices and Greeks 1994Options on futures spreads: Hedging, speculation, and valuation

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2011Closed Form Approximations for Spread Options 2013Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets 2006Closed-Form Approximations for Spread Option Prices and Greeks

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2006Closed-Form Approximations for Spread Option Prices and Greekspreprint · 9 shared references 2008Closed-Form Approximations for Spread Option Prices and Greeksarticle · 6 shared references 2011Closed Form Approximations for Spread Optionsarticle · 5 shared references 2002Principal components analysis for correlated curves and seasonal commodities: The case of the petroleum marketarticle · 5 shared references 2013A General Closed-Form Spread Option Pricing Formulaarticle · 4 shared references 2008Long term spread option valuation and hedgingarticle · 4 shared references

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Year2007

Typearticle

Published2007-01-01

VenueQuantitative Finance

ISSN-L1469-7688

Languageen

Citations53

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1080/14697680802626323

openalex_workW1547053516

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