Pricing dual spread options by the Lie-Trotter operator splitting method
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香港中文大學研究人員

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摘要In this paper, based upon the Lie-Trotter operator splitting method proposed by Lo (2014), we present a simple closed-form ap- proximation for pricing the (three-asset) dual spread options. Illustrative numerical exam- ples show that the proposed approximation is not only extremely fast and robust, but also it is very accurate for typical volatilities and maturities up to two years. Moreover, for the case of a vanishing strike the proposed approx- imation becomes exact.
著者Lo C.F.
期刊名稱IAENG International Journal of Applied Mathematics
出版年份2014
月份1
日期1
卷號44
期次4
出版社International Association of Engineers
出版地Hong Kong
頁次221 - 225
國際標準期刊號1992-9978
語言英式英語
關鍵詞Kirk's approximation, Lie-Trotter operator splitting method, Spread options

上次更新時間 2020-03-08 於 03:35