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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

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
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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