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spread-option

Here are 2 public repositories matching this topic...

PyFE / SumBSM-R

The R code of the "Sum of all Black-Scholes-Merton models" paper

derivatives quadrature black-scholes spread-option basket-option asian-option

Updated May 26, 2022
R

celinenguyentu / #_and_Hedging_Spreads

Article about the Carmona-Durrleman approximation to price and hedge spread options.

research-project monte-carlo-simulation option-# research-paper research-and-development spread-option option-hedging

Updated Jul 15, 2024
C++

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