Closed form spread option valuation

By Petter Bjerksund, G. Stensland. 2014

81 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/973547dfff605857bcc4589beb07caff5c78ca72

Citations in the corpus

• A General Closed-Form Spread Option Pricing Formula (2013, unknown): “…gives us the BS lower bound where N ( · ) is the cumulative density function of the standard Gaussian distribution and α and k , appearing in the definition of a 1 , a 2 , and d , can be chosen to maximize the above formula or can be set according to the guess of Bjerksund and Stensland (2011).”
• General closed-form basket option pricing bounds (2016, unknown): “Examples in the lognormal framework are Rogers and Shi (1995), Thompson (1999), Carmona and Durrelman (2003) and Bjerksund and Stensland (2014).”