PDF-Analytic Approximations for Spread Options Carol Alexander ICMA Centre University of Reading Aanand Venkatramanan ICMA Centre University of Reading First Version August June ICMA Centre Discussion
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Published 2014-12-26 | 6994 Views
All rights reserved brPage 2br ABSTRACT This paper expresses the price of a spread option as the sum of the prices of two compound options One compound option is
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