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  • Search: subject:"Kirk's Approximation"
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Year of publication
Subject
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Black-Scholes model 3 Black-Scholes-Modell 3 Option pricing theory 3 Option trading 3 Optionsgeschäft 3 Optionspreistheorie 3 Analysis of variance 1 Black-Scholes Equation 1 Black-Scholes equation 1 Constant elasticity of variance model 1 Derivat 1 Derivative 1 Elasticity 1 Elastizität 1 Kirk approximation formula 1 Kirk's Approximation 1 Kirk's approximation 1 Lie-Trotter Operator Splitting Method 1 Lie-Trotter operator splitting method 1 Liquidity 1 Liquidität 1 Lognormal Random Variables 1 Spread Options 1 Varianzanalyse 1 WKB method 1 Yield curve 1 Zinsstruktur 1 finite liquidity market model 1 pricing spread options 1 spread options 1
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Online availability
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CC license 1 Free 1 Undetermined 1
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 3
Author
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Lo, C. F. 1 Lo, Chi-fai 1 Pirvu, Traian A. 1 Zhang, Shuming 1 Zheng, X. F. 1
Published in...
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International journal of financial engineering 1 Journal of mathematical finance 1 Risks : open access journal 1
Source
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ECONIS (ZBW) 3
Showing 1 - 3 of 3
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Spread option pricing under finite liquidity framework
Pirvu, Traian A.; Zhang, Shuming - In: Risks : open access journal 12 (2024) 11, pp. 1-14
. Kirk approximation in conjunction with Monte Carlo simulations yields the spread option prices. Moreover, the antithetic …This work explores a finite liquidity model to price spread options and assess the liquidity impact. We employ Kirk … approximation for computing the spread option price and its delta. The latter is needed since the liquidity impact is caused by the …
Persistent link: https://www.econbiz.de/10015135789
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A simple closed-form approximation for constant elasticity of variance spread options
Lo, C. F.; Zheng, X. F. - In: International journal of financial engineering 7 (2020) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10012603776
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A simple generalisation of Kirk's approximation for multi-asset spread options by the Lie-Trotter operator splitting method
Lo, Chi-fai - In: Journal of mathematical finance 4 (2014) 3, pp. 178-187
Persistent link: https://www.econbiz.de/10010400107
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