"Pricing Average and Spread Options Under Local-Stochastic Volatility ..."

Kenichiro Shiraya, Akihiko Takahashi (2019)

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DOI: 10.1287/MOOR.2017.0925

access: closed

type: Journal Article

metadata version: 2019-05-31

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Kenichiro Shiraya, Akihiko Takahashi:
Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models. Math. Oper. Res. 44(1): 303-333 (2019)

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