American Spread Option Models and Valuation
Spread options are derivative securities, which are written on the difference between the values of two underlying market variables. They are very important tools to hedge the correlation risk. American style spread options allow the holder to exercise the option at any time up to and including matu...
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BYU ScholarsArchive
2013
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Online Access: | https://scholarsarchive.byu.edu/etd/3598 https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=4597&context=etd |