Cover Image

A note on closed-form spread option valuation under log-normal models

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Abudurexiti, Nuerxiati, He, Kai, Hu, Dongdong, Sayit, Hasanjan
Format:	Preprint
Published:	2021
Subjects:	Mathematical Finance 62P05 G.0
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Pricing under the Benchmark Approach
by: Platen, Eckhard
Published: (2025)

Weak convergence implies convergence in mean within GGC
by: Sayit, Hasanjan
Published: (2024)

Calibrated rank volatility stabilized models for large equity markets
by: Itkin, David, et al.
Published: (2024)

Free Lunches with Vanishing Risks Most Likely Exist
by: Platen, Eckhard, et al.
Published: (2025)

Information-minimizing stationary financial market dynamics
by: Platen, Eckhard
Published: (2025)

Information-Theoretic Approach to Financial Market Modelling
by: Platen, Eckhard
Published: (2026)

Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
by: Atsiwo, Abraham, et al.
Published: (2024)

A dimension reduction approach for loss valuation in credit risk modelling
by: He, Jian, et al.
Published: (2023)

A discussion of stochastic dominance and mean-risk optimal portfolio problems based on mean-variance-mixture models
by: Sayit, Hasanjan
Published: (2022)

Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
by: Deep, Akash, et al.
Published: (2025)

Two-fund separation under hyperbolically distributed returns and concave utility functions
by: Abudurexiti, Nuerxiati, et al.
Published: (2024)

Asymmetric super-Heston-rough volatility model with Zumbach effect as scaling limit of quadratic Hawkes processes
by: Chudasama, Priyanka, et al.
Published: (2025)

Joint calibration to SPX and VIX options with signature-based models
by: Cuchiero, Christa, et al.
Published: (2023)

Curved Greeks: A Geometric Layer for Option P&L Adjustments
by: Velasco, Pedro Pablo Pérez, et al.
Published: (2026)

On variable annuities with surrender charges
by: De Angelis, Tiziano, et al.
Published: (2024)

On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
by: Han, Xiyue, et al.
Published: (2025)

Pricing and hedging for liquidity provision in Constant Function Market Making
by: Risk, Jimmy, et al.
Published: (2026)

Functional CLTs for subordinated Lévy models in physics, finance, and econometrics
by: Søjmark, Andreas, et al.
Published: (2023)

A theory of passive market impact
by: Chahdi, Youssef Ouazzani, et al.
Published: (2024)

On an Optimal Stopping Problem with a Discontinuous Reward
by: Mackay, Anne, et al.
Published: (2023)

A pure dual approach for hedging Bermudan options
by: Alfonsi, Aurélien, et al.
Published: (2024)

Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion
by: Bibinger, Markus, et al.
Published: (2025)

Robust Bernoulli Mixture Models for Credit Portfolio Risk
by: Ansari, Jonathan, et al.
Published: (2024)

Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)

Optimal market-neutral currency trading on the cryptocurrency platform
by: Yang, Hongshen, et al.
Published: (2024)

A mathematical framework for modelling CLMM dynamics in continuous time
by: Tung, Shen-Ning, et al.
Published: (2024)

Complex discontinuities of the square root of Fredholm determinants in the Volterra Stein-Stein model
by: Jaber, Eduardo Abi, et al.
Published: (2025)

On certain integral functionals of integer-valued subordinators
by: Hu, Dongdong, et al.
Published: (2025)

A Wiener Chaos Approach to Martingale Modelling and Implied Volatility Calibration
by: Diaz-Lozano, Pere, et al.
Published: (2026)

International Financial Markets Through 150 Years: Evaluating Stylized Facts
by: Safari, Sara A., et al.
Published: (2025)

A unified theory of order flow, market impact, and volatility
by: Muhle-Karbe, Johannes, et al.
Published: (2026)

A new measure of risk using Fourier analysis
by: Grabinski, Michael, et al.
Published: (2024)

Same Returns, Different Risks: How Cryptocurrency Markets Process Infrastructure vs Regulatory Shocks
by: Farzulla, Murad
Published: (2026)

Win-score promotion gates in aggregator-routed RFQ markets: A two-tier stochastic control model
by: Barzykin, Alexander
Published: (2026)

Asymptotic Expansions for High-Frequency Option Data
by: Chong, Carsten H., et al.
Published: (2023)

Robust statistical inference for accelerated life-tests with one-shot devices under log-logistic distributions
by: González-Calderón, María, et al.
Published: (2025)

Causal inference with ordinal outcomes: copula-based identification, estimation and sensitivity analysis
by: He, Peiyu, et al.
Published: (2026)

Temporal Coverage Bias in Financial Panel Data: A Coverage-Aware Structuring Framework with Evidence from the Dhaka Stock Exchange
by: Muhammad, Tashreef
Published: (2026)

Elicitability and identifiability of tail risk measures
by: Fissler, Tobias, et al.
Published: (2024)

Log Heston Model for Monthly Average VIX
by: Park, Jihyun, et al.
Published: (2024)