Pricing Spread Options using Matched Asymptotic Expansions
This document deals with approximating spread options prices using Matched Asymptotic Expansions techniques on the correlation. More precisely, it deals with spreads options on assets that are highly correlated (ρ ∼ 1), which is most commonly observed in Oil Markets (Crude Oil vs. Gasoline for examp...
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University of Oxford;Mathematics
2008
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