A General Closed-Form Spread Option Pricing Formula

By Ruggero Caldana, Gianluca Fusai. 2013

80 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/94c278e63b21232b5034e3e16c5d2f53237de211

Citations in the corpus

• General closed-form basket option pricing bounds (2016, unknown): “Another important example is the spread option, where the payoff involves the difference of two or more underlyings, see e.g. Carmona and Durrelman (2003) and Caldana and Fusai (2013).”