American Spread Option Pricing with Stochastic Interest Rate
In financial markets, spread option is a derivative security with two underlying assets and the payoff of the spread option depends on the difference of these assets. We consider American style spread option which allows the owners to exercise it at any time before the maturity. The complexity of p...
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| Format: | Others |
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BYU ScholarsArchive
2016
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| Online Access: | https://scholarsarchive.byu.edu/etd/5987 https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=6986&context=etd |