Pricing and hedging of spread options with stochastic component correlation
Spread options are derivatives securities with payoffs dependent on the difference of two underlying market variables. Though the importance and wide applicability of this class of instruments have long been recognised, the theoretical problem of valuing them beyond the simple Geometric Brownian mot...
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University of Cambridge
2001
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.604205 |