2 papers
q-fin.MF2024
A note on closed-form spread option valuation under log-normal models
Nuerxiati Abudurexiti, Kai He, Dongdong Hu +1
In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1], closed form approximations for spread call option prices were studied under the log normal models. In this…
q-fin.PR2024
Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture Lévy Motions
Dongdong Hu, Hasanjan Sayit, Svetlozar T. Rachev
The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models. In this note, we also us…