Matched Asymptotic Expansions for Valuing Spread Options
Spread Options are crucial in the energy, currency and fixed income, and com- modity markets. The problem with spread options is that there are no closed- form formulae to price or hedge them. In this paper, we use matched asymptotic expansions in order to price spread options. We use both one-facto...
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Format: | Thesis |
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University of Oxford;Mathematics
2008
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