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1 Ergebnisse
1
A closed-form approximation for pricing spread options on f..:
Baek, Seung-Yong
;
Kim, Jeong-Hoon
Probability in the Engineering and Informational Sciences. 38 (2023) 1 - p. 168-188 , 2023
Link:
https://doi.org/10.1017/s0269964823000049
RT Journal T1
A closed-form approximation for pricing spread options on futures under a mean-reverting spot price model with multiscale stochastic volatility
UL https://suche.suub.uni-bremen.de/peid=cr-10.1017_s0269964823000049&Exemplar=1&LAN=DE A1 Baek, Seung-Yong A1 Kim, Jeong-Hoon PB Cambridge University Press (CUP) YR 2023 SN 0269-9648 SN 1469-8951 JF Probability in the Engineering and Informational Sciences VO 38 IS 1 SP 168 OP 188 LK http://dx.doi.org/https://doi.org/10.1017/s0269964823000049 DO https://doi.org/10.1017/s0269964823000049 SF ELIB - SuUB Bremen
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