SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Closed-Form Approximations for Spread Option Prices and Greeks · Study

PreprintShelves

PreprintClosed-Form Approximations for Spread Option Prices and Greeks

Minqiang Li2006

OA

Preprintgreen2006

Closed-Form Approximations for Spread Option Prices and Greeks

Minqiang Li · Shijie Deng · Jieyun Zhou

30 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 30 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER 1995Changes of numéraire, changes of probability measure and option pricing 1985Investment and the Valuation of Firms When There is an Option to Shut Down 1982Approximate option valuation for arbitrary stochastic processes 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods 2003Energy and power risk management : new developments in modeling, pricing and hedging 2003Pricing and Hedging Spread Options

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008Closed-Form Approximations for Spread Option Prices and Greeksarticle · 15 shared references 2007Multi-Asset Spread Option Pricing and Hedgingarticle · 9 shared references 2011Closed Form Approximations for Spread Optionsarticle · 6 shared references 2002Principal components analysis for correlated curves and seasonal commodities: The case of the petroleum marketarticle · 6 shared references 2003Pricing and Hedging Spread Optionsarticle · 5 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 4 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations30

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2139/ssrn.952747

openalex_workW2097577947

Links

Imported from OpenAlex (CC0) — nothing here is generated.