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Testing the closed-form spread option pricing formula based on Gauss-hermite quadrature for a jump-diffusion model
Lin, Xenos Chang-Shuo
;
Miao, Daniel Wei-Chung
;
Chang, …
- In:
Computational economics
64
(
2024
)
5
,
pp. 2879-2908
Persistent link: https://www.econbiz.de/10015144084
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