A general closed form approximation pricing formula for basket and multi-asset spread options

Tommaso Pellegrino

Year of publication:	November 2016
Authors:	Pellegrino, Tommaso
Published in:	Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 5, p. 944-974
Subject:	Basket Options \| Spread Options \| Derivatives Pricing \| Characteristic Function \| Fourier Inversion \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading \| Derivat \| Derivative

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