Matches in SemOpenAlex for { <https://semopenalex.org/work/W3141813844> ?p ?o ?g. }
Showing items 1 to 63 of
63
with 100 items per page.
- W3141813844 abstract "We develop a new closed-form approximation method for pricing spread options. Numerical analysis shows that our method is more accurate than existing analytical approximations. Our method is also extremely fast, with computing time more than two orders of magnitude shorter than one-dimensional numerical integration. We also develop closed-form approximations for the greeks of spread options. In addition, we analyze the price sensitivities of spread options and provide lower and upper bounds for digital spread options. Our method enables the accurate pricing of a bulk volume of spread options with different specifications in real time, which offers traders a potential edge in financial markets. The closed-form approximations of greeks serve as valuable tools in financial applications such as dynamic hedging and value-at-risk calculations." @default.
- W3141813844 created "2021-04-13" @default.
- W3141813844 creator A5003894776 @default.
- W3141813844 date "2008-01-01" @default.
- W3141813844 modified "2023-09-24" @default.
- W3141813844 title "Closed-Form Approximations for Spread Option Prices and Greeks" @default.
- W3141813844 hasPublicationYear "2008" @default.
- W3141813844 type Work @default.
- W3141813844 sameAs 3141813844 @default.
- W3141813844 citedByCount "0" @default.
- W3141813844 crossrefType "posted-content" @default.
- W3141813844 hasAuthorship W3141813844A5003894776 @default.
- W3141813844 hasConcept C106159729 @default.
- W3141813844 hasConcept C126255220 @default.
- W3141813844 hasConcept C144237770 @default.
- W3141813844 hasConcept C149782125 @default.
- W3141813844 hasConcept C162324750 @default.
- W3141813844 hasConcept C182767506 @default.
- W3141813844 hasConcept C1898038 @default.
- W3141813844 hasConcept C193386753 @default.
- W3141813844 hasConcept C194483076 @default.
- W3141813844 hasConcept C28826006 @default.
- W3141813844 hasConcept C33923547 @default.
- W3141813844 hasConcept C41008148 @default.
- W3141813844 hasConceptScore W3141813844C106159729 @default.
- W3141813844 hasConceptScore W3141813844C126255220 @default.
- W3141813844 hasConceptScore W3141813844C144237770 @default.
- W3141813844 hasConceptScore W3141813844C149782125 @default.
- W3141813844 hasConceptScore W3141813844C162324750 @default.
- W3141813844 hasConceptScore W3141813844C182767506 @default.
- W3141813844 hasConceptScore W3141813844C1898038 @default.
- W3141813844 hasConceptScore W3141813844C193386753 @default.
- W3141813844 hasConceptScore W3141813844C194483076 @default.
- W3141813844 hasConceptScore W3141813844C28826006 @default.
- W3141813844 hasConceptScore W3141813844C33923547 @default.
- W3141813844 hasConceptScore W3141813844C41008148 @default.
- W3141813844 hasLocation W31418138441 @default.
- W3141813844 hasOpenAccess W3141813844 @default.
- W3141813844 hasPrimaryLocation W31418138441 @default.
- W3141813844 hasRelatedWork W1534640128 @default.
- W3141813844 hasRelatedWork W1838545088 @default.
- W3141813844 hasRelatedWork W2001783729 @default.
- W3141813844 hasRelatedWork W2134559375 @default.
- W3141813844 hasRelatedWork W2138480659 @default.
- W3141813844 hasRelatedWork W2160984392 @default.
- W3141813844 hasRelatedWork W2269342585 @default.
- W3141813844 hasRelatedWork W2392359978 @default.
- W3141813844 hasRelatedWork W2531476909 @default.
- W3141813844 hasRelatedWork W2897154743 @default.
- W3141813844 hasRelatedWork W2900434225 @default.
- W3141813844 hasRelatedWork W2953977052 @default.
- W3141813844 hasRelatedWork W3121138301 @default.
- W3141813844 hasRelatedWork W3121149846 @default.
- W3141813844 hasRelatedWork W3122634676 @default.
- W3141813844 hasRelatedWork W3123854250 @default.
- W3141813844 hasRelatedWork W3125236501 @default.
- W3141813844 hasRelatedWork W3143258553 @default.
- W3141813844 hasRelatedWork W3160380084 @default.
- W3141813844 hasRelatedWork W3161391800 @default.
- W3141813844 isParatext "false" @default.
- W3141813844 isRetracted "false" @default.
- W3141813844 magId "3141813844" @default.
- W3141813844 workType "article" @default.