A simple generalisation of Kirk's approximation for multi-asset spread options by the Lie-Trotter operator splitting method
Chi-Fai Lo
| Year of publication: |
2014
|
|---|---|
| Authors: | Lo, Chi-fai |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 4.2014, 3, p. 178-187
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| Subject: | Lognormal Random Variables | Black-Scholes Equation | Spread Options | Kirk's Approximation | Lie-Trotter Operator Splitting Method | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010400107