Abstract

Inspired by recent work on the Dyson-Taylor Commutator method, we apply similar but different techniques to commodity spread options when the correlation (denoted by &#929) of the two underlying Brownian drivers is close to 1. We obtain closed-form asymptotic formulas in powers of 1−&#929.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.