Calendar spread exchange options pricing with Gaussian random fields
Year of publication: |
2018
|
---|---|
Authors: | Hainaut, Donatien |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 6.2018, 3, p. 1-33
|
Publisher: |
Basel : MDPI |
Subject: | Gaussian fields | Exchange options | Calendar options |
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Calendar spread exchange options pricing with Gaussian random fields
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